Central Bank Research Hub - Series: European Central Bank Working papers 2008

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Title	Author(s)
The interday and intraday patterns of the overnight market: evidence from an electronic platform Paper: 0988, 23.12.2008 JEL: C22, C32, E43, E58	Alain Durré Renaud Beaupain
What explains the spread between the euro overnight rate and the ECB's policy rate? Paper: 0983, 23.12.2008 JEL: C22, E43, E52	Tobias Linzert Sandra Schmidt
Probability of informed trading on the euro overnight market rate: an update Paper: 0987, 23.12.2008 JEL: E52, G14	Julien Idier Stefano Nardelli
Measuring monetary policy expectations from financial market instruments Paper: 0978, 23.12.2008 JEL: E43, E44, E52	Michael Joyce
Futures contract rates as monetary policy forecasts Paper: 0979, 23.12.2008 JEL: E43, E44, E52	Giuseppe Ferrero Andrea Nobili
Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan Paper: 0980, 23.12.2008 JEL: E43, E52, G12	Naohiko Baba Teppei Nagano
Why the effective price for money exceeds the policy rate in the ECB tenders? Paper: 0981, 23.12.2008 JEL: D44, E58	Tuomas Välimäki
Modelling short-term interest rate spreads in the euro money market Paper: 0982, 23.12.2008 JEL: C32, E43, E50, E58, G15	Nuno Cassola Claudio Morana
The daily and policy-relevant liquidity effects Paper: 0984, 23.12.2008 JEL: E40, E52	Daniel L. Thornton
Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates Paper: 0977, 23.12.2008 JEL: E40, E52	Daniel L. Thornton Massimo Guidolin
The term structure of interest rates across frequencies Paper: 0976, 23.12.2008 JEL: C22, E43	Stefan Gerlach Katrin Assenmacher-Wesche
Early estimates of euro area real GDP growth: a bottom up approach from the production side Paper: 0975, 10.12.2008	Elke Hahn Frauke Skudelny
Do China and oil exporters influence major currency configurations? Paper: 0973, 04.12.2008 JEL: E58, F30, F31, F36, G15	Marcel Fratzscher Arnaud Mehl
Responses to monetary policy shocks in the east and the west of Europe: a comparison Paper: 0970, 04.12.2008 JEL: C11, C32, C33, E40, E52	Marek Jarocinski
Institutional features of wage bargaining in 23 European countries, the US and Japan Paper: 0974, 02.12.2008 JEL: J31, J38, J51, J58	Philip Du Caju Erwan Gautier
Monetary policy and housing prices in an estimated DSGE for the US and the euro area Paper: 0972, 27.11.2008 JEL: E4, E5, F4	Alessandro Notarpietro Matthieu Darracq Pariès
What drives U.S. current account fluctuations? Paper: 0959, 27.11.2008 JEL: E0, F32, F4	Alina Barnett Roland Straub
Comparing and evaluating Bayesian predictive distributions of assets returns Paper: 0969, 27.11.2008 JEL: C11, C53	John Geweke Gianni Amisano
Interactions between private and public sector wages Paper: 0971, 27.11.2008 JEL: E24, E62, H50	António Afonso Pedro Gomes
A value at risk analysis of cedit default swaps Paper: 0968, 17.11.2008 JEL: E43, G12, G13	Burkhard Raunig Martin Scheicher
Central Bank misperceptions and the role of money in interest rate rules. Paper: 0967, 17.11.2008 JEL: E32, E41, E43, E52, E58	Guenter W. Beck Volker Wieland
Large Bayesian VARs Paper: 0966, 15.11.2008 JEL: C11, C13, C33, C53	Marta Banbura
IMF lending and geopolitics Paper: 0965, 15.11.2008 JEL: F33, H77, O19	Julien Vauday Julien Reynaud
Do firms provide wage insurance against shocks? Evidence from Hungary Paper: 0964, 14.11.2008 JEL: C33, D21, J33, J41	Gábor Kátay
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR Paper: 0957, 14.11.2008 JEL: C13, C32	Halbert White
Oil exporters: in search of an external anchor Paper: 0958, 14.11.2008 JEL: C30, C51, C61, F31, O24	Maurizio Michael Habib Jan Strasky
On implications of micro price data for macro models Paper: 0960, 14.11.2008 JEL: E3, E5	Bartosz Mackowiak Frank Smets
Budgetary and external imbalances relationship: a panel data diagnostic Paper: 0961, 14.11.2008 JEL: C23, E62, F32, H62	Christophe Rault António Afonso
Optimal monetary policy and the transmission of oil-supply shocks to the euro area under rational expectations Paper: 0962, 14.11.2008 JEL: E4, E5, F4	Matthieu Darracq Pariès Stéphane Adjemian
Public and private sector wages: co-movement and causality Paper: 0963, 14.11.2008 JEL: C32, E62, E63, H50, J30, J51, J52	Ana Lamo
The political economy under monetary union: has the euro made a difference? Paper: 0956, 07.11.2008 JEL: F31, F33, G14	Livio Stracca Marcel Fratzscher
Monetary policy and stock market boom-bust cycles Paper: 0955, 31.10.2008	Lawrence Christiano Cosmin Ilut
Fiscal policy responsiveness, persistence and discretion Paper: 0954, 29.10.2008 JEL: E62, H50	António Afonso
Short-term forecasts of euro area GDP growth Paper: 0949, 29.10.2008 JEL: C33, C53, E52	Domenico Giannone Elena Angelini Gonzalo Camba-Mendez
Is forecasting with large models informative? Assessing the role of judgement in macro-economic forecasts Paper: 0950, 29.10.2008 JEL: C52, E30, E32, E37	Ricardo Mestre Peter McAdam
Estimating and forecasting the euro area monthly national accounts from a dynamic factor model Paper: 0953, 29.10.2008 JEL: C53, E37	Elena Angelini
How successful is the G7 in managing exchange rates? Paper: 0952, 16.10.2008 JEL: F31, F33, F50	Marcel Fratzscher
Exchange rate pass-through in the global economy: the role of emerging market economies Paper: 0951, 16.10.2008 JEL: F10, F30, F41	Tuomas A. Peltonen Matthieu Bussière
Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm Paper: 0948, 15.10.2008 JEL: C19, C49, G19	Josep Fortiana Gregori Josep Maria Puigvert Gutiérrez
Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity Paper: 0947, 15.10.2008 JEL: F31, F36, G14, G15, G32	Mark Joy Maurizio Michael Habib
Macroeconomic adjustment to monetary union Paper: 0946, 13.10.2008 JEL: E21, F32, F36	Gabriel Fagan Vítor Gaspar
Sparse and stable Markowitz portfolios Paper: 0936, 13.10.2008 JEL: C00, G11	Christine De Mol Ingrid Daubechies Joshua Brodie
Channels of international risk-sharing: capital gains versus income flows Paper: 0938, 13.10.2008 JEL: F21, F30, F36	Martin Schmitz Thierry Bracke
The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis Paper: 0944, 13.10.2008 JEL: C11, C32, E32, E37	Kai Christoffel
Wage and price dynamics in Portugal Paper: 0945, 13.10.2008 JEL: C32, C51, E31, J30	Carlos Robalo Marques
How does competition affect efficiency and soundness in banking? New empirical evidence Paper: 0932, 10.10.2008 JEL: G21, G28, L11	Martin Cihák Klaus Schaeck
International stock return comovements Paper: 0931, 02.10.2008	Geert Bekaert
Sticky information Phillips curves: European evidence Paper: 0930, 24.09.2008 JEL: D84, E31	Jörg Döpke Jonas Dovern
The impact of financial position on investment: an anlysis for non-financial corporations in the euro area. Paper: 0943, 22.09.2008 JEL: C33, E22, G32, J23	Annalisa Ferrando Carmen Martínez-Carrascal
An application of index numbers theory to interest rates Paper: 0939, 22.09.2008 JEL: C43, E43	Lucia Steklacova Javier Huerga

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