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Wolfgang Lemke

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.

    Cited by:

    1. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    2. Andrew Hodge & Zoltan Jakab & Jesper Lindé & Vina Nguyen, 2022. "U.S. and Euro Area Monetary and Fiscal Interactions During the Pandemic: A Structural Analysis," IMF Working Papers 2022/222, International Monetary Fund.
    3. Emilie Da Silva & Vincent Grossmann-Wirth & Benoit Nguyen & Miklos Vari, 2021. "Paying Banks to Lend? Evidence from the Eurosystem's TLTRO and the Euro Area Credit Registry," Working papers 848, Banque de France.
    4. Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019. "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series 2293, European Central Bank.
    5. Odendahl, Florens & Pagliari, Maria Sole & Penalver, Adrian & Rossi, Barbara & Sestieri, Giulia, 2024. "Euro area monetary policy effects. Does the shape of the yield curve matter?," Journal of Monetary Economics, Elsevier, vol. 147(S).
    6. Hobelsberger, Karin & Kok, Christoffer & Mongelli, Francesco Paolo, 2022. "A tale of three crises: synergies between ECB tasks," Occasional Paper Series 305, European Central Bank.
    7. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    8. Stéphane Dupraz & Hervé Le Bihan & Julien Matheron, 2022. "Make-up Strategies with Finite Planning Horizons but Forward-Looking Asset Prices," Working papers 862, Banque de France.
    9. Blotevogel, Robert & Hudecz, Gergely & Vangelista, Elisabetta, 2024. "Asset purchases and sovereign bond spreads in the euro area during the pandemic," Journal of International Money and Finance, Elsevier, vol. 140(C).
    10. Takaoka, Sumiko & Takahashi, Koji, 2022. "Corporate debt and unconventional monetary policy: The risk-taking channel with bond and loan contracts," Journal of Financial Stability, Elsevier, vol. 60(C).
    11. Battistini, Niccolò & Falagiarda, Matteo & Hackmann, Angelina & Roma, Moreno, 2022. "Navigating the housing channel of monetary policy across euro area regions," Working Paper Series 2752, European Central Bank.
    12. Julián Caballero & Blaise Gadanecz, 2023. "Did interest rate guidance in emerging markets work?," BIS Working Papers 1080, Bank for International Settlements.
    13. Fukker, Gábor & Kaijser, Michiel & Mingarelli, Luca & Sydow, Matthias, 2022. "Contagion from market price impact: a price-at-risk perspective," Working Paper Series 2692, European Central Bank.
    14. Egemen Eren & Timothy Jackson & Giovanni Lombardo, 2024. "The macroprudential role of central bank balance sheets," Working Papers 202408, University of Liverpool, Department of Economics.
    15. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2021. "Unconventional monetary policy, funding expectations, and firm decisions," Working Paper Series 2598, European Central Bank.
    16. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    17. Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
    18. Egemen Eren & Timothy Jackson & Giovanni Lombardo, 2024. "The macroprudential role of central bank balance sheets," BIS Working Papers 1173, Bank for International Settlements.

  2. Altavilla, Carlo & Lemke, Wolfgang & Linzert, Tobias & Tapking, Jens & von Landesberger, Julian, 2021. "Assessing the efficacy, efficiency and potential side effects of the ECB’s monetary policy instruments since 2014," Occasional Paper Series 278, European Central Bank.

    Cited by:

    1. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
    2. Brini, Alessio & Tedeschi, Gabriele & Tantari, Daniele, 2023. "Reinforcement learning policy recommendation for interbank network stability," Journal of Financial Stability, Elsevier, vol. 67(C).
    3. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    4. Debrun, Xavier & Masuch, Klaus & Ferrero, Guiseppe & Vansteenkiste, Isabel & Ferdinandusse, Marien & von Thadden, Leopold & Hauptmeier, Sebastian & Alloza, Mario & Derouen, Chloé & Bańkowski, Krzyszto, 2021. "Monetary-fiscal policy interactions in the euro area," Occasional Paper Series 273, European Central Bank.
    5. Carrera de Souza, Tomás & Hudepohl, Tom, 2024. "Frictions in scaling up central bank balance sheet policies: How Eurosystem asset purchases impact the repo market," Journal of Banking & Finance, Elsevier, vol. 158(C).
    6. Shunsuke Haba & Yuichiro Ito & Yoshiyasu Kasai, 2025. "The Impact of Negative Interest Rate Policy on Interest Rate Formation and Lending," Bank of Japan Working Paper Series 25-E-1, Bank of Japan.
    7. Marta Gómez-Puig & Mary Pieterse-Bloem & Simón Sosvilla-Rivero, 2022. ""Dynamic connectedness between credit and liquidity risks in EMU sovereign debt markets"," IREA Working Papers 202217, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
    8. Herman Matthijs & Mark Scholliers, 2022. "The No-Gold Central Banks," Review of European Studies, Canadian Center of Science and Education, vol. 14(3), pages 1-43, November.
    9. Eleni Argiri & Ifigeneia Skotida, 2021. "The 2021 review of the monetary policy strategy of the Eurosystem: an economy of forces," Economic Bulletin, Bank of Greece, issue 54, pages 23-57, December.
    10. Tomás Carrera de Souza & Tom Hudepohl, 2022. "The Eurosystem’s bond market share at an all-time high: what does it mean for repo markets?," Working Papers 745, DNB.

  3. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.

    Cited by:

    1. Burban, Valentin & De Backer, Bruno & Vladu, Andreea Liliana, 2024. "Inflation (de-)anchoring in the euro area," Working Paper Series 2964, European Central Bank.
    2. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020. "A structural investigation of quantitative easing," IMFS Working Paper Series 142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    3. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    4. Dufrénot, Gilles & Rhouzlane, Meryem & Vaccaro-Grange, Etienne, 2022. "Potential growth and natural yield curve in Japan," Journal of International Money and Finance, Elsevier, vol. 124(C).
    5. Mark Mink & Rodney Ramcharan & Iman van Lelyveld, 2020. "How Banks Respond to Distress: Shifting Risks in Europe’s Banking Union," Tinbergen Institute Discussion Papers 20-006/IV, Tinbergen Institute.
    6. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
    7. Valentin Burban & Bruno De Backer & Andreaa Liliana Vladu, 2024. "Inflation (de-)anchoring in the euro area," Working Paper Research 457, National Bank of Belgium.
    8. NAKAJIMA, Jouchi & SUDO, Nao & HOGEN, Yoshihiko & TAKIZUKA, Yasutaka, 2023. "On the estimation of the natural yield curve," Discussion Paper Series 753, Institute of Economic Research, Hitotsubashi University.
    9. Mark Mink & Rodney Ramcharan & Iman van Lelyveld, 2020. "How banks respond to distress: Shifting risks in Europe's banking union," Working Papers 669, DNB.
    10. Xia, Ying & Chen, Muyang, 2023. "The Janus face of stateness: China's development-oriented equity investments in Africa," World Development, Elsevier, vol. 162(C).
    11. Mongelli, Francesco Paolo & Pointner, Wolfgang & van den End, Jan Willem, 2022. "The effects of climate change on the natural rate of interest: a critical survey," Working Paper Series 2744, European Central Bank.
    12. Claudio Borio, 2021. "Navigating by r*: safe or hazardous?," BIS Working Papers 982, Bank for International Settlements.

  4. Dewacther, Hans & Iania, Leonardo & Lemke, Wolfgang & Lyrio, Marco, 2019. "A Macro-Financial Analysis of the Corporate Bond Market," LIDAM Reprints LFIN 2019008, Université catholique de Louvain, Louvain Finance (LFIN).

    Cited by:

    1. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
    2. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).

  5. Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019. "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series 2293, European Central Bank.

    Cited by:

    1. van der Zwan, Terri & Kole, Erik & van der Wel, Michel, 2024. "Heterogeneous macro and financial effects of ECB asset purchase programs," Journal of International Money and Finance, Elsevier, vol. 143(C).
    2. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
    3. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020. "A structural investigation of quantitative easing," IMFS Working Paper Series 142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Belke, Ansgar & Gros, Daniel, 2021. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    5. Boucinha, Miguel & Burlon, Lorenzo & Corsi, Marco & della Valle, Guido & Eisenschmidt, Jens & Pool, Sebastiaan & Schumacher, Julian & Vergote, Olivier & Marmara, Iwona, 2022. "Two-tier system for remunerating excess reserve holdings," Occasional Paper Series 302, European Central Bank.
    6. Billio, M. & Busetto, F. & Dufour, A. & Varotto, S., 2025. "Bond supply expectations and the term structure of interest rates," Journal of International Money and Finance, Elsevier, vol. 150(C).
    7. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
    8. Nektarios A. Michail & Kyriaki G. LouKa, 2023. "The inefficiency of Quantitative Easing in the Euro Area," Working Papers 2023-3, Central Bank of Cyprus.
    9. Eser, Fabian & Lane, Philip & Moretti, Laura & Osbat, Chiara & Karadi, Peter, 2020. "The Phillips Curve at the ECB," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224627, Verein für Socialpolitik / German Economic Association.
    10. Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).
    11. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    12. Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
    13. Andrejs Zlobins, 2024. "On the time-varying effects of the ECB’s asset purchases," Empirical Economics, Springer, vol. 66(6), pages 2593-2623, June.
    14. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    15. Muñiz, José Antonio & Larkin, Charles & Corbet, Shaen, 2025. "Understanding the use of unconventional monetary policy for portfolio decarbonisation in Europe," Journal of International Money and Finance, Elsevier, vol. 150(C).
    16. Karl Whelan, 2022. "The past, present and future of euro area monetary-fiscal interactions," International Economics and Economic Policy, Springer, vol. 19(3), pages 557-579, July.
    17. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.
    18. Matthieu Lemoine & Harri Turunen & Mohammed Chahad & Antoine Lepetit & Anastasia Zhutova & Pierre Aldama & Pierrick Clerc & Jean-Pierre Laffargue, 2019. "The FR-BDF Model and an Assessment of Monetary Policy Transmission in France," Working papers 736, Banque de France.
    19. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    20. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    21. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    22. Hubert, Paul & Blot, Christophe & Bozou, Caroline & Creel, Jérôme, 2024. "Same actions, different effects: The conditionality of monetary policy instruments," Journal of Monetary Economics, Elsevier, vol. 147(S).
    23. Hülsewig, Oliver & Steinbach, Armin, 2021. "Monetary financing and fiscal discipline," International Review of Law and Economics, Elsevier, vol. 68(C).

  6. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.

    Cited by:

    1. Benigno Pierpaolo & Canofari Paolo & Di Bartolomeo Giovanni & Messori Marcello, 2022. "The European monetary policy responses during the pandemic crisis," wp.comunite 00151, Department of Communication, University of Teramo.
    2. Le Bihan, Hervé & Marx, Magali & Matheron, Julien, 2023. "Inflation tolerance ranges in the New Keynesian model," European Economic Review, Elsevier, vol. 153(C).
    3. Jorge Escolar & José Ramón Yribarren, 2021. "European Central Bank and Banco de España measures against the effects of COVID-19 on the monetary policy collateral framework, and their impact on Spanish counterparties," Occasional Papers 2128, Banco de España.
    4. Marco Fruzzetti & Giulio Gariano & Gerardo Palazzo & Antonio Scalia, 2021. "From SMP to PEPP: a further look at the risk endogeneity of the Central Bank," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 11, Bank of Italy, Directorate General for Markets and Payment System.
    5. J. E. Boscá & R. Doménech & J. Ferri & R. Méndez & J. F. Rubio-Ramírez, 2018. "Financial and Fiscal Shocks in the Great Recession and Recovery of the Spanish Economy," Working Papers 2018-05, FEDEA.
    6. Nicoletta Batini & Alessandro Cantelmo & Giovanni Melina & Stefania Villa, 2020. "How Loose, how tight? A measure of monetary and fiscal stance for the euro area," Temi di discussione (Economic working papers) 1295, Bank of Italy, Economic Research and International Relations Area.
    7. Athanasios Orphanides, 2021. "The Power of Central Bank Balance Sheets," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 39, pages 35-54, November.
    8. Eleonora Granziera & Pirkka Jalasjoki & Maritta Paloviita, 2021. "The Bias and Efficiency of the ECB Inflation Projections: a State Dependent Analysis," Working Paper 2021/1, Norges Bank.
    9. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    10. Altavilla, Carlo & Burlon, Lorenzo & Giannetti, Mariassunta & Holton, Sarah, 2019. "Is there a zero lower bound? The effects of negative policy rates on banks and firms," Working Paper Series 2289, European Central Bank.
    11. Bro de Comères, Quentin & Oros, Cornel & Pourroy, Marc & Raguideau-Hannotin, Léonore & Vaubourg, Anne-Gaël, 2025. "Non-standard monetary policy and ECB communication: Confusion or predictability?," Journal of International Money and Finance, Elsevier, vol. 151(C).
    12. Bussière Matthieu & Sahuc Jean-Guillaume & Pfister Christian, 2020. "The link between money and inflation since 2008 [Le lien entre monnaie et inflation depuis 2008]," Bulletin de la Banque de France, Banque de France, issue 232.
    13. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    14. Altavilla, Carlo & Barbiero, Francesca & Boucinha, Miguel & Burlon, Lorenzo, 2020. "The Great Lockdown: pandemic response policies and bank lending conditions," CEPR Discussion Papers 15298, C.E.P.R. Discussion Papers.
    15. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    16. Emilie Da Silva & Vincent Grossmann-Wirth & Benoit Nguyen & Miklos Vari, 2021. "Paying Banks to Lend? Evidence from the Eurosystem's TLTRO and the Euro Area Credit Registry," Working papers 848, Banque de France.
    17. Margherita Bottero & Enrico Sette, 2020. "Expansionary yet different: credit supply and real effects of negative interest rate policy," Temi di discussione (Economic working papers) 1269, Bank of Italy, Economic Research and International Relations Area.
    18. Elien Meuleman & Rudi Vander Vennet, 2022. "Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    19. Mattia Girotti & Guillaume Horny & Jean-Guillaume Sahuc, 2022. "Lost in Negative Territory? Search for Yield!," EconomiX Working Papers 2022-10, University of Paris Nanterre, EconomiX.
    20. Laine, Olli-Matti & Pihlajamaa, Matias, 2023. "Asymmetric effects of conventional and unconventional monetary policy when rates are low," Bank of Finland Research Discussion Papers 3/2023, Bank of Finland.
    21. Tom Beernaert & Nicolas Soenen & Rudi Vander Vennet, 2022. "ECB Monetary Policy and the Term Structure of Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 22/1050, Ghent University, Faculty of Economics and Business Administration.
    22. Soenen, Nicolas & Vander Vennet, Rudi, 2022. "Determinants of European banks’ default risk," Finance Research Letters, Elsevier, vol. 47(PA).
    23. Orphanides, Athanasios & Hofmann, Boris & Lombardi, Marco & Mojon, Benoit, 2021. "Fiscal and monetary policy interactions in a low interest rate world," CEPR Discussion Papers 16411, C.E.P.R. Discussion Papers.
    24. Claudia Kwapil & Kilian Rieder, 2021. "The effects of the monetary policy response to the COVID-19 pandemic: preliminary evidence from a pilot study using Austrian bank-level data," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q4/20-Q1/, pages 131-152.
    25. Ehrmann, Michael & Holton, Sarah & Kedan, Danielle & Phelan, Gillian, 2022. "Monetary Policy Communication: Perspectives from Former Policy Makers at the ECB," Research Technical Papers 1/RT/22, Central Bank of Ireland.
    26. Levieuge, Grégory & Sahuc, Jean-Guillaume, 2021. "Downward interest rate rigidity," European Economic Review, Elsevier, vol. 137(C).
    27. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    28. Martin Feldkircher & Helene Schuberth, 2023. "Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 859-893, August.
    29. Kapp, Daniel & Kristiansen, Kristian, 2021. "Euro area equity risk premia and monetary policy: a longer-term perspective," Working Paper Series 2535, European Central Bank.
    30. Allen, Franklin & Haas, Marlene D. & Nowak, Eric & Tengulov, Angel, 2021. "Market efficiency and limits to arbitrage: Evidence from the Volkswagen short squeeze," Journal of Financial Economics, Elsevier, vol. 142(1), pages 166-194.
    31. Darracq Pariès, Matthieu & Papadopoulou, Niki, 2019. "On the credit and exchange rate channels of central bank asset purchases in a monetary union," Working Paper Series 2259, European Central Bank.
    32. Maih, Junior & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2021. "Asymmetric monetary policy rules for the euro area and the US," Working Paper Series 2587, European Central Bank.
    33. Debrun, Xavier & Masuch, Klaus & Ferrero, Guiseppe & Vansteenkiste, Isabel & Ferdinandusse, Marien & von Thadden, Leopold & Hauptmeier, Sebastian & Alloza, Mario & Derouen, Chloé & Bańkowski, Krzyszto, 2021. "Monetary-fiscal policy interactions in the euro area," Occasional Paper Series 273, European Central Bank.
    34. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.
    35. Battistini, Niccolò & Falagiarda, Matteo & Hackmann, Angelina & Roma, Moreno, 2022. "Navigating the housing channel of monetary policy across euro area regions," Working Paper Series 2752, European Central Bank.
    36. Mäki-Fränti, Petri & Silvo, Aino & Gulan, Adam & Kilponen, Juha, 2022. "Monetary policy and inequality: The Finnish case," Bank of Finland Research Discussion Papers 3/2022, Bank of Finland.
    37. Eser, Fabian & Lane, Philip & Moretti, Laura & Osbat, Chiara & Karadi, Peter, 2020. "The Phillips Curve at the ECB," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224627, Verein für Socialpolitik / German Economic Association.
    38. Laine, Olli-Matti & Pihlajamaa, Matias, 2024. "Pushing and pulling on a string? Inflationary effects of expansionary and contractionary monetary policies when rates are negative," Economic Modelling, Elsevier, vol. 131(C).
    39. Inês da Cunha Cabral & Pedro Pires Ribeiro & João Nicolau, 2022. "Changes in inflation compensation and oil prices: short-term and long-term dynamics," Empirical Economics, Springer, vol. 62(2), pages 581-603, February.
    40. Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).
    41. Antonio J., Garzón & Luis A., Hierro, 2022. "Inflation, oil prices and exchange rates. The Euro’s dampening effect," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 130-146.
    42. Stefano Figuera & Guglielmo Forges Davanzati & Andrea Pacella, 2022. "Considerations on the Legacy of Ordoliberalism in European Monetary Policy," HISTORY OF ECONOMIC THOUGHT AND POLICY, FrancoAngeli Editore, vol. 2022(2), pages 95-122.
    43. Luca Papi, 2024. "Le implicazioni economiche delle perdite delle banche centrali," Working Papers 492, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    44. Brandt, Lennart & Saint Guilhem, Arthur & Schröder, Maximilian & Van Robays, Ine, 2021. "What drives euro area financial market developments? The role of US spillovers and global risk," Working Paper Series 2560, European Central Bank.
    45. Nicolas Soenen & Rudi Vander Vennet, 2020. "ECB Monetary Policy and Bank Default Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.
    46. Rodriguez-Rodriguez, F.J. & Hierro, L.A. & Garzon, A.J., 2024. "Fed and ECB reaction functions during quantitative easing: Three phases of monetary policy, both conventional and unconventional," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 928-945.
    47. Grégory LEVIEUGE & Jean-Guillaume SAHUC, 2020. "Monetary policy transmission with downward interest rate rigidity," LEO Working Papers / DR LEO 2744, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    48. Pablo Aguilar & Óscar Arce & Samuel Hurtado & Jaime Martínez-Martín & Galo Nuño & Carlos Thomas, 2020. "La respuesta de la política monetaria del Banco Central Europeo frente a la crisis del Covid-19," Occasional Papers 2026, Banco de España.
    49. Andrejs Zlobins, 2019. "Macroeconomic Effects of the ECB's Forward Guidance," Working Papers 2019/03, Latvijas Banka.
    50. Girotti, Mattia & Nguyen, Benoît & Sahuc, Jean-Guillaume, 2022. "A tiering rule to balance the impact of negative policy rates on banks," Finance Research Letters, Elsevier, vol. 47(PA).
    51. Carin van der Cruijsen & Anna Samarina, 2021. "Trust in the ECB in turbulent times," Working Papers 722, DNB.
    52. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    53. Stefan Schiman & Atanas Pekanov, 2020. "Uncertainty in the Euro Area During the First Wave of the COVID-19 Pandemic," WIFO Studies, WIFO, number 66708, March.
    54. Pierpaolo Benigno & Paolo Canofari & Giovanni Di Bartolomeo & Marcello Messori, 2021. "The ECB's policy measures during the COVID-19 crisis," Working Papers in Public Economics 207, Department of Economics and Law, Sapienza University of Roma.
    55. Cristina Conflitti, 2020. "Alternative measures of underlying inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 593, Bank of Italy, Economic Research and International Relations Area.
    56. Altavilla, Carlo & Boucinha, Miguel & Peydró, José-Luis & Smets, Frank, 2020. "Banking Supervision, Monetary Policy and Risk-Taking: Big Data Evidence from 15 Credit Registers," CEPR Discussion Papers 14288, C.E.P.R. Discussion Papers.
    57. Matthieu Darracq-Pariès & Niki Papadopoulou, 2020. "Balance Sheet Policies in a Large Currency Union: A Primer on ECB Non-Standard Measures since 2014," Revue d'économie politique, Dalloz, vol. 130(2), pages 171-230.
    58. Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
    59. Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
    60. Eleni Argiri & Ifigeneia Skotida, 2021. "The 2021 review of the monetary policy strategy of the Eurosystem: an economy of forces," Economic Bulletin, Bank of Greece, issue 54, pages 23-57, December.
    61. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    62. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    63. Vasiliki Dimakopoulou & George Economides & Apostolis Philippopoulos, 2021. "The ECB's Policy, the Recovery Fund and the Importance of Trust: The Case of Greece," CESifo Working Paper Series 9371, CESifo.
    64. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    65. Issing, Otmar, 2020. "Encompassing monetary policy strategy review," SAFE White Paper Series 68, Leibniz Institute for Financial Research SAFE.
    66. Rathke, Alexander & Streicher, Sina & Sturm, Jan-Egbert, 2022. "How similar are country- and sector-responses to common shocks within the euro area?," Journal of International Money and Finance, Elsevier, vol. 120(C).
    67. Altavilla, Carlo & Boucinha, Miguel & Holton, Sarah & Ongena, Steven, 2018. "Credit supply and demand in unconventional times," Working Paper Series 2202, European Central Bank.
    68. Guido Bulligan & Francesco Corsello & Stefano Neri & Alex Tagliabracci, 2021. "De-anchored long-term inflation expectations in a low growth, low rate environment," Questioni di Economia e Finanza (Occasional Papers) 624, Bank of Italy, Economic Research and International Relations Area.
    69. Andrejs Zlobins, 2020. "ZLB and Beyond: Real and Financial Effects of Low and Negative Interest Rates in the Euro Area," Working Papers 2020/06, Latvijas Banka.
    70. Bindseil, Ulrich & Senner, Richard, 2024. "Macroeconomic modelling of CBDC: a critical review," Working Paper Series 2978, European Central Bank.
    71. Marco Bottone & Alex Tagliabracci & Giordano Zevi, 2021. "Inflation expectations and the ECB’s perceived inflation objective: novel evidence from firm-level data," Questioni di Economia e Finanza (Occasional Papers) 621, Bank of Italy, Economic Research and International Relations Area.
    72. William Gatt & Germano Ruisi, 2022. "The spillover of euro area shocks to the Maltese economy," CBM Working Papers WP/03/2022, Central Bank of Malta.
    73. G. Kontogeorgos & K. Lambrias, 2022. "Evaluating the Eurosystem/ECB staff macroeconomic projections: The first 20 years," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 213-229, March.
    74. Stéphane Lhuissier & Benoit Nguyen, 2021. "The Dynamic Effects of the ECB s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.

  7. Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2018. "A macro-financial analysis of the corporate bond market," Working Paper Research 360, National Bank of Belgium.

    Cited by:

    1. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
    2. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).

  8. Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.

    Cited by:

    1. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    2. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
    3. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    4. Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022. "Expectations and term premia in EFSF bond yields," Working Papers 54, European Stability Mechanism.
    5. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    6. Billio, M. & Busetto, F. & Dufour, A. & Varotto, S., 2025. "Bond supply expectations and the term structure of interest rates," Journal of International Money and Finance, Elsevier, vol. 150(C).
    7. Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019. "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series 2293, European Central Bank.
    8. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    9. Costain, James & Nuño, Galo & Thomas, Carlos, 2024. "The Term Structure of Interest Rates in a Heterogeneous Monetary Union," CEPR Discussion Papers 18736, C.E.P.R. Discussion Papers.
    10. De Santis, Roberto A. & Zimic, Srečko, 2022. "Interest rates and foreign spillovers," European Economic Review, Elsevier, vol. 144(C).
    11. Cohen, Lior & Furman, Itai, 2024. "The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market," Economics Letters, Elsevier, vol. 235(C).
    12. Bergant, Katharina & Fidora, Michael & Schmitz, Martin, 2018. "International capital flows at the security level – evidence from the ECB’s asset purchase programme," ECMI Papers 13926, Centre for European Policy Studies.
    13. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    14. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    15. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    16. Ciccarelli, Matteo & Darracq Pariès, Matthieu & Priftis, Romanos & Angelini, Elena & Bańbura, Marta & Bokan, Nikola & Fagan, Gabriel & Gumiel, José Emilio & Kornprobst, Antoine & Lalik, Magdalena & Mo, 2024. "ECB macroeconometric models for forecasting and policy analysis," Occasional Paper Series 344, European Central Bank.

  9. Lemke, Wolfgang & Vladu, Andreea Liliana, 2017. "Below the zero lower bound: a shadow-rate term structure model for the euro area," Working Paper Series 1991, European Central Bank.

    Cited by:

    1. Christian Grisse & Silvio Schumacher, 2018. "Term structure dynamics at low and negative interest rates—evidence from Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-17, December.
    2. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    3. Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
    4. Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2017. "The shifting drivers of global liquidity," Staff Reports 819, Federal Reserve Bank of New York.
    5. Oliver de Groot & Alexander Haas, 2022. "The Signalling Channel of Negative Interest Rates," Discussion Papers of DIW Berlin 1990, DIW Berlin, German Institute for Economic Research.
    6. Rösl, Gerhard & Seitz, Franz & Tödter, Karl-Heinz, 2017. "Besser ohne Bargeld? Gesamtwirtschaftliche Wohlfahrtsverluste der Bargeldabschaffung [Doing away with cash? The macroeconomic welfare costs of abolishing cash]," Weidener Diskussionspapiere 58, University of Applied Sciences Amberg-Weiden (OTH).
    7. Ursel Baumann & David Lodge & Mirela S. Miescu, 2024. "Global growth on life support? The contributions of fiscal and monetary policy since the global financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 76-90, January.
    8. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    9. De Rezende, Rafael B. & Ristiniemi, Annukka, 2018. "A shadow rate without a lower bound constraint," Working Paper Series 355, Sveriges Riksbank (Central Bank of Sweden).
    10. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    11. Margherita Bottero & Ms. Camelia Minoiu & José-Luis Peydró & Andrea Polo & Mr. Andrea F Presbitero & Enrico Sette, 2019. "Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data," IMF Working Papers 2019/044, International Monetary Fund.
    12. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    13. Margherita Bottero & Enrico Sette, 2020. "Expansionary yet different: credit supply and real effects of negative interest rate policy," Temi di discussione (Economic working papers) 1269, Bank of Italy, Economic Research and International Relations Area.
    14. Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
    15. Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
    16. Jing Cynthia Wu & Fan Dora Xia, 2020. "Negative interest rate policy and the yield curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 653-672, September.
    17. De Backer, Bruno & Dewachter, Hans & Iania, Leonardo, 2021. "Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?," Finance Research Letters, Elsevier, vol. 43(C).
    18. Selva Demiralp & Jens Eisenschmidt & Thomas Vlassopoulos, 2021. "Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area," Koç University-TUSIAD Economic Research Forum Working Papers 1910, Koc University-TUSIAD Economic Research Forum.
    19. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    20. Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
    21. Rossi, Barbara, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?," CEPR Discussion Papers 14064, C.E.P.R. Discussion Papers.
    22. Jean-Guillaume Sahuc & Sarah Mouabbi, 2019. "Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies," EconomiX Working Papers 2019-2, University of Paris Nanterre, EconomiX.
    23. Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional Monetary Policy: Interest Rates and Low Inflation. A Review of Literature and Methods," Bank of Lithuania Occasional Paper Series 13, Bank of Lithuania.
    24. Claus, Edda & Claus, Iris & Krippner, Leo, 2018. "Asset market responses to conventional and unconventional monetary policy shocks in the United States," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 270-282.
    25. Aleksander Berentsen & Hugo van Buggenum & Romina Ruprecht, 2020. "On the negatives of negative interest rates and the positives of exemption thresholds," ECON - Working Papers 372, Department of Economics - University of Zurich.
    26. Luisa Corrado & Stefano Grassi & Enrico Minnella, 2021. "The Transmission Mechanism of Quantitative Easing: A Markov-Switching FAVAR Approach," CEIS Research Paper 520, Tor Vergata University, CEIS, revised 21 Oct 2021.
    27. Ruchir Agarwal & Miles Kimball, 2019. "Enabling Deep Negative Rates to Fight Recessions: A Guide," IMF Working Papers 2019/084, International Monetary Fund.
    28. Levieuge, Grégory & Sahuc, Jean-Guillaume, 2021. "Downward interest rate rigidity," European Economic Review, Elsevier, vol. 137(C).
    29. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
    30. Tobias S. Blattner & Michael A. S. Joyce, 2020. "The Euro Area Bond Free Float and the Implications for QE," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(6), pages 1361-1395, September.
    31. Jose David GARCIA REVELO & Yannick LUCOTTE & Florian PRADINES-JOBET, 2019. "Macroprudential and Monetary Policies : The Need to Dance the Tango in Harmony," LEO Working Papers / DR LEO 2691, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    32. Maih, Junior & Mazelis, Falk & Motto, Roberto & Ristiniemi, Annukka, 2021. "Asymmetric monetary policy rules for the euro area and the US," Working Paper Series 2587, European Central Bank.
    33. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.
    34. Barbara Rossi, 2018. "Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?," Economics Working Papers 1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
    35. Eser, Fabian & Lane, Philip & Moretti, Laura & Osbat, Chiara & Karadi, Peter, 2020. "The Phillips Curve at the ECB," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224627, Verein für Socialpolitik / German Economic Association.
    36. Christian Grisse & Signe Krogstrup & Silvio Schumacher, 2017. "Lower-Bound Beliefs and Long-Term Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 13(3), pages 165-202, September.
    37. Ad Van Riet, 2017. "The ECB’s Fight against Low Inflation: On the Effects of Ultra-Low Interest Rates," IJFS, MDPI, vol. 5(2), pages 1-27, April.
    38. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
    39. Grégory LEVIEUGE & Jean-Guillaume SAHUC, 2020. "Monetary policy transmission with downward interest rate rigidity," LEO Working Papers / DR LEO 2744, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    40. Byrne, David & Kelly, Robert, 2017. "Bank Asset Quality & Monetary Policy Pass-Through," Research Technical Papers 11/RT/17, Central Bank of Ireland.
    41. Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
    42. Beniak, Patrycja, 2019. "The emerging market reaction to Fed tightening," MPRA Paper 96545, University Library of Munich, Germany, revised 29 Oct 2019.
    43. Shunsuke Haba & Yuichiro Ito & Yoshiyasu Kasai, 2025. "The Impact of Negative Interest Rate Policy on Interest Rate Formation and Lending," Bank of Japan Working Paper Series 25-E-1, Bank of Japan.
    44. Salisu, Afees A. & Isah, Kazeem O. & Cepni, Oguzhan, 2024. "Conventional and unconventional shadow rates and the US state-level stock returns: Evidence from non-stationary heterogeneous panels," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    45. Rösl, Gerhard & Seitz, Franz & Tödter, Karl-Heinz, 2017. "Doing away with cash? The welfare costs of abolishing cash," IMFS Working Paper Series 112, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    46. Lucas Hafemann & Peter Tillmann, 2020. "The Aggregate and Country-Specific Effectiveness of ECB Policy: Evidence from an External Instruments VAR Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 97-136, December.
    47. Cour-Thimann, Philippine & Jung, Alexander, 2021. "Interest-rate setting and communication at the ECB in its first twenty years," European Journal of Political Economy, Elsevier, vol. 70(C).
    48. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    49. Holm-Hadulla, Fédéric & Thürwächter, Claire, 2021. "Heterogeneity in corporate debt structures and the transmission of monetary policy," European Economic Review, Elsevier, vol. 136(C).
    50. Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371, CPB Netherlands Bureau for Economic Policy Analysis.
    51. Bańkowski, Krzysztof & Christoffel, Kai & Faria, Thomas, 2021. "Assessing the fiscal-monetary policy mix in the euro area," Working Paper Series 2623, European Central Bank.
    52. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    53. Dreger, Christian & Gerdesmeier, Dieter & Roffia, Barbara, 2020. "The impact of credit for house price overvaluations in the euro area: Evidence from threshold models," MPRA Paper 99523, University Library of Munich, Germany.
    54. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    55. Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
    56. Christian Grisse & Silvio Schumacher, 2017. "The response of long-term yields to negative interest rates: evidence from Switzerland," Working Papers 2017-10, Swiss National Bank.
    57. Jae‐Yun Jun & Victor Lebreton & Yves Rakotondratsimba, 2021. "Forecasting negative yield‐curve distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 367-386, April.
    58. Jung, Alexander, 2018. "Does McCallum’s rule outperform Taylor’s rule during the financial crisis?," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 9-21.
    59. Kentaro Kikuchi, "undated". "A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy," Discussion Papers CRR Discussion Paper Series B: Financial 19, Shiga University, Faculty of Economics,Center for Risk Research.
    60. Rant, Vasja & Puc, Anja & Čok, Mitja & Verbič, Miroslav, 2024. "Macroeconomic impacts of monetary and fiscal policy in the euro area in times of shifting policies: A SVAR approach," Finance Research Letters, Elsevier, vol. 64(C).
    61. Ouerk, Salima & Boucher, Christophe & Lubochinsky, Catherine, 2020. "Unconventional monetary policy in the Euro Area: Shadow rate and light effets," Journal of Macroeconomics, Elsevier, vol. 65(C).
    62. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
    63. Thi Bich Ngoc Tran & Hoang Cam Huong Pham, 2020. "The Spillover Effects of the US Unconventional Monetary Policy: New Evidence from Asian Developing Countries," JRFM, MDPI, vol. 13(8), pages 1-26, July.

  10. Lemke, Wolfgang & Vladu, Andreea, 2015. "A Shadow-Rate Term Structure Model for the Euro Area," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113159, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Mariarosaria Comunale & Jonas Striaukas, 2017. "Unconventional Monetary Policy: Interest Rates and Low Inflation. A Review of Literature and Methods," Bank of Lithuania Occasional Paper Series 13, Bank of Lithuania.
    2. Dreger, Christian & Gerdesmeier, Dieter & Roffia, Barbara, 2020. "The impact of credit for house price overvaluations in the euro area: Evidence from threshold models," MPRA Paper 99523, University Library of Munich, Germany.
    3. Rasa Stasiukynaite, 2017. "Understanding Monetary Policy Stance," Bank of Lithuania Occasional Paper Series 14, Bank of Lithuania.

  11. Lemke, Wolfgang & Strohsal, Till, 2013. "What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79794, Verein für Socialpolitik / German Economic Association.

    Cited by:

    1. Speck, Christian, 2017. "Inflation anchoring in the euro area," Working Paper Series 1998, European Central Bank.
    2. Speck, Christian, 2016. "Inflation Anchoring in the Euro Area," VfS Annual Conference 2016 (Augsburg): Demographic Change 145697, Verein für Socialpolitik / German Economic Association.
    3. Speck, Christian, 2016. "Inflation anchoring in the euro area," Discussion Papers 04/2016, Deutsche Bundesbank.

  12. Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011. "Classical time-varying FAVAR models - Estimation, forecasting and structural analysis," CEPR Discussion Papers 8321, C.E.P.R. Discussion Papers.

    Cited by:

    1. Brandon J. Bates & Mikkel Plagborg-Møller & James H. Stock & Mark W. Watson, "undated". "Consistent factor estimation in dynamic factor models with structural instability," Working Paper 84631, Harvard University OpenScholar.
    2. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
    3. Breitung, Jörg & Eickmeier, Sandra, 2011. "Testing for structural breaks in dynamic factor models," Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
    4. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2014. "Forecasting UK GDP growth and inflation under structural change. A comparison of models with time-varying parameters," International Journal of Forecasting, Elsevier, vol. 30(1), pages 129-143.
    5. Eickmeier, Sandra & Ng, Tim, 2011. "How do credit supply shocks propagate internationally? A GVAR approach," Discussion Paper Series 1: Economic Studies 2011,27, Deutsche Bundesbank.
    6. Koop, Gary & Korobilis, Dimitris, 2014. "A new index of financial conditions," European Economic Review, Elsevier, vol. 71(C), pages 101-116.
    7. Han, Xu & Inoue, Atsushi, 2015. "Tests For Parameter Instability In Dynamic Factor Models," Econometric Theory, Cambridge University Press, vol. 31(5), pages 1117-1152, October.
    8. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
    9. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    10. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    11. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    12. Han, Xu, 2015. "Tests for overidentifying restrictions in Factor-Augmented VAR models," Journal of Econometrics, Elsevier, vol. 184(2), pages 394-419.
    13. Niall O’Sullivan & Sheng Zhu & Jason Foran, 2019. "Sentiment versus liquidity pricing effects in the cross-section of UK stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 317-329, July.
    14. MOLTENI, Francesco, PAPPA, Evi, 2017. "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," Economics Working Papers MWP 2017/13, European University Institute.
    15. Hosszú, Zsuzsanna, 2018. "The impact of credit supply shocks and a new Financial Conditions Index based on a FAVAR approach," Economic Systems, Elsevier, vol. 42(1), pages 32-44.

  13. Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR," CEPR Discussion Papers 8341, C.E.P.R. Discussion Papers.

    Cited by:

    1. Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
    2. Fink, Fabian & Schüler, Yves S., 2015. "The transmission of US systemic financial stress: Evidence for emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 6-26.
    3. Fonseca, Marcelo Gonçalves da Silva & Pereira, Pedro L. Valls, 2014. "Credit shocks and monetary policy in Brazil: a structural FAVAR approach," Textos para discussão 358, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    4. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
    5. Michal Franta & Jan Libich & Petr Stehlik, 2012. "Tracking Monetary-Fiscal Interactions Across Time and Space," Working Papers 2012/06, Czech National Bank, Research and Statistics Department.
    6. Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - estimation, forecasting and structural analysis," Discussion Paper Series 1: Economic Studies 2011,04, Deutsche Bundesbank.
    7. Baumeister, Christiane & Hamilton, James, 2020. "Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions," CEPR Discussion Papers 14271, C.E.P.R. Discussion Papers.
    8. Kwon, Hyuck-Shin & Bang, Doo Won & Kim, Myeong Hyeon, 2017. "Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 39(3), pages 43-62.
    9. Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
    10. Eickmeier, Sandra & Ng, Tim, 2011. "How do credit supply shocks propagate internationally? A GVAR approach," Discussion Paper Series 1: Economic Studies 2011,27, Deutsche Bundesbank.
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    36. Vacca, Valerio Paolo & Bichlmeier, Fabian & Biraschi, Paolo & Boschi, Natalie & Álvarez, Antonio J. Bravo & Di Primio, Luciano & Ebner, André & Hoeretzeder, Silvia & Ballesteros, Elisa Llorente & Mian, 2021. "Measuring the impact of a bank failure on the real economy: an EU-wide analytical framework," ESRB Working Paper Series 122, European Systemic Risk Board.
    37. Guesmi, Khaled & Makrychoriti, Panagiota & Spyrou, Spyros, 2023. "The relationship between climate risk, climate policy uncertainty, and CO2 emissions: Empirical evidence from the US," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 610-628.
    38. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    39. Anastasios Evgenidis & Costas Siriopoulos, 2015. "What are the International Channels Through Which a US Policy Shock is Transmitted to The World Economies? Evidence from a Time Varying FAVAR," Working Papers 190, Bank of Greece.
    40. Ronald A. Ratti & Joaquin L. Vespignani, 2014. "Not all international monetary shocks are alike for the Japanese economy," CAMA Working Papers 2014-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    41. Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
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    45. Maldonado, Javier & Ruiz Ortega, Esther, 2017. "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de Estadística.
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    48. Ruch,Franz Ulrich, 2020. "Prospects, Risks, and Vulnerabilities in Emerging and Developing Economies : Lessons from the Past Decade," Policy Research Working Paper Series 9181, The World Bank.
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  14. Fornari, Fabio & Lemke, Wolfgang, 2010. "Predicting recession probabilities with financial variables over multiple horizons," Working Paper Series 1255, European Central Bank.

    Cited by:

    1. Gross, Marco, 2011. "Corporate bond spreads and real activity in the euro area - Least Angle Regression forecasting and the probability of the recession," Working Paper Series 1286, European Central Bank.
    2. Michael T. Owyang & Jeremy Piger & Daniel Soques, 2022. "Contagious switching," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 415-432, March.
    3. Makram El-Shagi & Gregor von Schweinitz, 2016. "Qual VAR revisited: Good forecast, bad story," Journal of Applied Economics, Universidad del CEMA, vol. 19, pages 293-322, November.
    4. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
    5. Seulki Chung, 2023. "Inside the black box: Neural network-based real-time prediction of US recessions," Papers 2310.17571, arXiv.org, revised May 2024.
    6. Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang, 2019. "Binary Conditional Forecasts," Working Papers 2019-029, Federal Reserve Bank of St. Louis, revised Apr 2021.
    7. Michael Puglia & Adam Tucker, 2020. "Machine Learning, the Treasury Yield Curve and Recession Forecasting," Finance and Economics Discussion Series 2020-038, Board of Governors of the Federal Reserve System (U.S.).
    8. Kian Tehranian, 2023. "Can Machine Learning Catch Economic Recessions Using Economic and Market Sentiments?," Papers 2308.16200, arXiv.org.
    9. Babecký, Jan & Havránek, Tomáš & Matĕjů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2012. "Leading indicators of crisis incidence: evidence from developed countries," Working Paper Series 1486, European Central Bank.
    10. Henri Nyberg, 2018. "Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(1), pages 1-15, January.
    11. Lorenzo Bencivelli & Massimiliano Marcellino & Gianluca Moretti, 2017. "Forecasting economic activity by Bayesian bridge model averaging," Empirical Economics, Springer, vol. 53(1), pages 21-40, August.
    12. Nissilä, Wilma, 2020. "Probit based time series models in recession forecasting – A survey with an empirical illustration for Finland," BoF Economics Review 7/2020, Bank of Finland.
    13. Baumann, Ursel & Gomez-Salvador, Ramon & Seitz, Franz, 2019. "Detecting turning points in global economic activity," Working Paper Series 2310, European Central Bank.
    14. Pirschel, Inske, 2015. "Forecasting Euro Area Recessions in real-time with a mixed-frequency Bayesian VAR," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113031, Verein für Socialpolitik / German Economic Association.
    15. Stefan Gebauer, 2017. "The Use of Financial Market Variables in Forecasting," DIW Roundup: Politik im Fokus 115, DIW Berlin, German Institute for Economic Research.
    16. Ralf Fendel & Nicola Mai & Oliver Mohr, 2021. "Recession probabilities for the Eurozone at the zero lower bound: Challenges to the term spread and rise of alternatives," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1000-1026, September.
    17. Tino Berger & Simon Wintter, 2025. "Economic Forecasting With German Newspaper Articles," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 497-512, March.
    18. Karnizova, Lilia & Li, Jiaxiong (Chris), 2014. "Economic policy uncertainty, financial markets and probability of US recessions," Economics Letters, Elsevier, vol. 125(2), pages 261-265.

  15. Werner, Thomas & Lemke, Wolfgang, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.

    Cited by:

    1. Casper van Ewijk & Henri de Groot & C. Santing, 2010. "A meta-analysis of the equity premium," CPB Discussion Paper 156, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    3. Fernando M. Duarte & Carlo Rosa, 2015. "The equity risk premium: a review of models," Economic Policy Review, Federal Reserve Bank of New York, issue 2, pages 39-57.
    4. Marcello Pericoli, 2020. "On risk factors of the stock–bond correlation," International Finance, Wiley Blackwell, vol. 23(3), pages 392-416, December.
    5. Damir Filipovi'c & Sander Willems, 2018. "A Term Structure Model for Dividends and Interest Rates," Papers 1803.02249, arXiv.org, revised May 2020.
    6. Marcello Pericoli, 2018. "Macroeconomics determinants of the correlation between stocks and bonds," Temi di discussione (Economic working papers) 1198, Bank of Italy, Economic Research and International Relations Area.
    7. Gideon Magnus, 2016. "A plausible model of yield curve dynamics," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 205-228, May.
    8. Kentaro Kikuchi, 2015. "Quadratic Gaussian Joint Pricing Model for Stocks and Bonds: Theory and Empirical Analysis," Discussion Papers CRR Discussion Paper Series B: Financial 14, Shiga University, Faculty of Economics,Center for Risk Research.
    9. Stanislav Khrapov, 2012. "Risk Premia: Short and Long-term," Working Papers w0169, Center for Economic and Financial Research (CEFIR).
    10. Prat, Georges & Le Bris, David, 2024. "Term structure of equity risk premia in rough terrain: 150 years of the French stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    11. J. Benson Durham, 2013. "Arbitrage-free models of stocks and bonds," Staff Reports 656, Federal Reserve Bank of New York.
    12. Damir Filipović & Sander Willems, 2020. "A term structure model for dividends and interest rates," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1461-1496, October.
    13. J. Benson Durham, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York.

  16. Ejsing, Jacob & Lemke, Wolfgang, 2009. "The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09," Working Paper Series 1127, European Central Bank.

    Cited by:

    1. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    2. Kalbaska, A. & Gątkowski, M., 2012. "Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 657-673.
    3. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on the activity of European banks," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 99-112.
    4. Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
    5. Bicu, Andreea & Candelon, Bertrand, 2013. "On the importance of indirect banking vulnerabilities in the Eurozone," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5007-5024.
    6. Luciana Barbosa & Sónia Costa, 2010. "Determinants of sovereign bond yield spreads in the euro area in the context of the economic and financial crisis," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    7. Ms. Eva Jenkner & Zhongjin Lu, 2014. "Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?," IMF Working Papers 2014/020, International Monetary Fund.
    8. Neyer, Ulrike & Sterzel, André, 2017. "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers 275, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    9. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," Working Papers del Instituto Complutense de Estudios Internacionales 1108, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    10. Gerald Eisenkopf & Zohal Hessami & Urs Fischbacher & Heinrich Ursprung, 2011. "Academic Performance and Single-Sex Schooling: Evidence from a Natural Experiment in Switzerland," Working Paper Series of the Department of Economics, University of Konstanz 2011-34, Department of Economics, University of Konstanz.
    11. Gilles Dufrénot & Karine Gente & Frédia Monsia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Post-Print hal-01440301, HAL.
    12. Thomas Laubach, 2010. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 7-29, National Bureau of Economic Research, Inc.
    13. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    14. Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Bruegel Working Papers 717, Bruegel.
    15. Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2014. "Sovereign risk premia: The link between fiscal rules and stability culture," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 110-127.
    16. Mascia Bedendo & Paolo Colla, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Post-Print hal-01157174, HAL.
    17. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 88, pages 63-75.
    18. Jennie Bai & Shang-Jin Wei, 2012. "When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads," NBER Working Papers 18600, National Bureau of Economic Research, Inc.
    19. Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019. "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
    20. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    21. Oleg Deev & Martin Hodula, 2016. "Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 28(2), pages 232-248, April.
    22. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
    23. Horvath, B.L. & Huizinga, H.P., 2011. "Does the European Financial Stability Facility bail out Sovereigns or Banks? An Event Study," Other publications TiSEM 245bef06-68d7-46c5-9814-4, Tilburg University, School of Economics and Management.
    24. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Sovereign bond holdings and monetary policy operations in the euro area," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1243-1254.
    25. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
    26. Huizinga, Harry & Ioannidou, Vasso & Horváth, Bálint, 2015. "Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios," CEPR Discussion Papers 10661, C.E.P.R. Discussion Papers.
    27. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    28. Kallestrup, René & Lando, David & Murgoci, Agatha, 2016. "Financial sector linkages and the dynamics of bank and sovereign credit spreads," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 374-393.
    29. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2017. "Sovereign bond market reactions to no-bailout clauses and fiscal rules – The Swiss experience," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 319-343.
    30. Chan-Lau, Jorge A. & Liu, Estelle X. & Schmittmann, Jochen M., 2013. "Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis," Discussion Papers 32/2013, Deutsche Bundesbank.
    31. Jan Bruha & Evžen Kocenda, 2017. "Financial Stability in Europe: Banking and Sovereign Risk," CESifo Working Paper Series 6453, CESifo.
    32. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
    33. Lorenzo Esposito & Giuseppe Mastromatteo, 2019. "Defaultnomics: Making Sense of the Barro-Ricardo Equivalence in a Financialized World," Economics Working Paper Archive wp_933, Levy Economics Institute.
    34. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
    35. Athanasios O. Tagkalakis, 2014. "Financial stability indicators and public debt developments," Working Papers 179, Bank of Greece.
    36. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
    37. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2013. "Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience," ZEW Discussion Papers 13-034, ZEW - Leibniz Centre for European Economic Research.
    38. Giampaolo Gabbi & Alesia Kalbaska & Alessandro Vercelli, 2014. "Factors generating and transmitting the financial crisis: The role of incentives: securitization and contagion," Working papers wpaper56, Financialisation, Economy, Society & Sustainable Development (FESSUD) Project.
    39. CRISTE Adina & LUPU Iulia, 2013. "The Conflict Relation Between the Sovereign Debt of the Euro Area Countries and the Common Monetary Policy As a Potential Source For Geopolitical Changes," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 167-173, May.
    40. Jing Cheng & Meixing Dai & Frédéric Dufourt, 2014. "Banking and Sovereign Debt Crises in a Monetary Union Without Central Bank Intervention," AMSE Working Papers 1428, Aix-Marseille School of Economics, France, revised Jun 2014.
    41. Vetlov, Igor & Attinasi, Maria Grazia & Lalik, Magdalena, 2017. "Fiscal spillovers in the euro area a model-based analysis," Working Paper Series 2040, European Central Bank.
    42. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
    43. John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
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    87. Willem Vanlaer & Mattia Picarelli & Wim Marneffe, 2021. "Debt and Private Investment: Does the EU Suffer from a Debt Overhang?," Open Economies Review, Springer, vol. 32(4), pages 789-820, September.
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    89. Constantin ANGHELACHE & Alexandru MANOLE & Mădălina Gabriela ANGHEL & Diana Valentina SOARE, 2016. "Statistical-econometric model used to analyze the operational and insolvency risks," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(608), A), pages 221-228, Autumn.
    90. Radde, Sören & Checherita-Westphal, Cristina & Cui, Wei, 2015. "Government bond liquidity and sovereign-bank interlinkages," SFB 649 Discussion Papers 2015-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    91. Silvapulle, Param & Fenech, Jean Pierre & Thomas, Alice & Brooks, Rob, 2016. "Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries," Economic Modelling, Elsevier, vol. 58(C), pages 83-92.
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    94. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
    95. Lidija Lovreta & Joaquín López Pascual, 2020. "Structural breaks in the interaction between bank and sovereign default risk," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 11(4), pages 531-559, December.
    96. Herrmann, Sabine & Kleinert, Jörn, 2014. "Lucas paradox and allocation puzzle: Is the euro area different?," Discussion Papers 06/2014, Deutsche Bundesbank.
    97. Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013. "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3694-3703.
    98. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
    99. Panetta, Fabio & Correa, Ricardo & Davies, Michael & Di Cesare, Antonio & Marques, José-Manuel & Nadal de Simone, Francisco & Signoretti, Federico & Vespro, Cristina & Vildo, Siret & Wieland, Martin &, 2011. "The impact of sovereign credit risk on bank funding conditions," MPRA Paper 32581, University Library of Munich, Germany.
    100. M. Bijlsma & J.H.J. Lukkezen & K. Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," Working Papers 14-03, Utrecht School of Economics.
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  17. Archontakis, Theofanis & Lemke, Wolfgang, 2007. "Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure," Discussion Paper Series 1: Economic Studies 2007,02, Deutsche Bundesbank.

    Cited by:

    1. Bosede Ngozi Adeleye & Michael Adusei & Olayinka Olohunlana & Opeyemi Akinyemi-Babajide & Arumugam Sankaran & Abdul Jamal, 2022. "Real deposit rate and credit supply nexus in ECOWAS," SN Business & Economics, Springer, vol. 2(2), pages 1-24, February.

  18. Lemke, Wolfgang, 2007. "An affine macro-finance term structure model for the euro area," Discussion Paper Series 1: Economic Studies 2007,13, Deutsche Bundesbank.

    Cited by:

    1. Iuliana Matei & Angela Cheptea, 2013. "Sovereign bond spread drivers in the EU market in the aftermath of the global financial crisis," Working Papers hal-00845660, HAL.
    2. Badarinza, Cristian & Margaritov, Emil, 2011. "News and policy foresight in a macro-finance model of the US," Working Paper Series 1313, European Central Bank.
    3. Alessia Paccagnini, 2016. "The Macroeconomic Determinants of the US Term-Structure During The Great Moderation," Open Access publications 10197/7324, School of Economics, University College Dublin.
    4. Vladimir Borgy & Laubach, T. & Jean-Stéphane Mésonnier & Jean-Paul Renne, 2011. "Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets," Working papers 350, Banque de France.
    5. Werner, Thomas & Lemke, Wolfgang, 2009. "The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics," Working Paper Series 1045, European Central Bank.
    6. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.

  19. Lemke, Wolfgang & Archontakis, Theofanis, 2006. "Bond pricing when the short term interest rate follows a threshold process," Discussion Paper Series 1: Economic Studies 2006,06, Deutsche Bundesbank.

    Cited by:

    1. Jean-Paul Renne, 2012. "A model of the euro-area yield curve with discrete policy rates," Working papers 395, Banque de France.

  20. Michael Krause & Wolfgang Lemke, 2006. "Optimal Monetary Policy Response to Distortionary Tax Changes," Computing in Economics and Finance 2006 306, Society for Computational Economics.

    Cited by:

    1. Sebastian Sienknecht, 2010. "On the Informational Loss Inherent in Approximation Procedures: Welfare Implications and Impulse Responses," Jena Economics Research Papers 2010-005, Friedrich-Schiller-University Jena.

  21. Lemke, Wolfgang & Greiber, Claus, 2005. "Money demand and macroeconomic uncertainty," Discussion Paper Series 1: Economic Studies 2005,26, Deutsche Bundesbank.

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    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    3. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    4. Setzer, Ralph & van den Noord, Paul & Wolff, Guntram B., 2011. "Heterogeneity in money holdings across euro area countries: The role of housing," European Journal of Political Economy, Elsevier, vol. 27(4), pages 764-780.
    5. Mierzejewski, Fernando, 2006. "Liquidity preference as rational behaviour under uncertainty," MPRA Paper 2771, University Library of Munich, Germany.
    6. Ansgar Belke & Thorsten Polleit, 2007. "How the ECB and the US Fed set interest rates," Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2197-2209.
    7. Franz Seitz & Julian von Landesberger, 2014. "Household Money Holdings in the Euro Area: An Explorative Investigation," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 83-115.
    8. Ahmad Baharumshah & Siew-Voon Soon, 2015. "Demand for broad money in Singapore: does wealth matter?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 557-573, July.
    9. Ponomarenko, Alexey & Vasilieva, Elena & Schobert, Franziska, 2012. "Feedback to the ECB's monetary analysis: the Bank of Russia's experience with some key tools," Working Paper Series 1471, European Central Bank.
    10. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Discussion Papers of DIW Berlin 813, DIW Berlin, German Institute for Economic Research.
    11. Mr. Helge Berger & Mr. Thomas Harjes & Mr. Emil Stavrev, 2008. "The ECB’s Monetary Analysis Revisited," IMF Working Papers 2008/171, International Monetary Fund.
    12. Ingrid Groessl & Ulrich Fritsche, 2006. "The Store-of-Value-Function of Money as a Component of Household Risk Management," Macroeconomics and Finance Series 200606, University of Hamburg, Department of Socioeconomics.
    13. Christian Dreger & Jürgen Wolters, 2014. "Unconventional Monetary Policy and Money Demand," Discussion Papers of DIW Berlin 1382, DIW Berlin, German Institute for Economic Research.
    14. Pateiro-Rodríguez, Carlos & Freire-Seoane, María Jesús & López-Bermúdez, Beatriz & Pateiro-López, Carlos, 2020. "Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona: 1997-2018," El Trimestre Económico, Fondo de Cultura Económica, vol. 87(345), pages 171-201, enero-mar.
    15. Sylvia Kaufmann, 2007. "Capturing the Link between M3 Growth and Inflation in the Euro Area – An Econometric Model to Produce Conditional Inflation Forecasts," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 93-108.
    16. Browne, Frank & Kelly, Robert, 2009. "Money and uncertainty in democratised financial markets," Research Technical Papers 16/RT/09, Central Bank of Ireland.
    17. Clemens Kool & Erik de Regt & Tom van Veen, 2013. "Money Overhang, Credit Overhang and Financial Imbalances in the Euro Area," CESifo Working Paper Series 4476, CESifo.
    18. Mierzejewski, Fernando, 2007. "An actuarial approach to short-run monetary equilibrium," MPRA Paper 2424, University Library of Munich, Germany.
    19. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    20. Ralph Setzer & Guntram Wolff, 2013. "Money demand in the euro area: new insights from disaggregated data," ULB Institutional Repository 2013/386951, ULB -- Universite Libre de Bruxelles.
    21. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
    22. Carstensen, Kai, 2007. "Is core money growth a good and stable inflation predictor in the euro area?," Kiel Working Papers 1318, Kiel Institute for the World Economy (IfW Kiel).
    23. Browne, Frank & Doran, David, 2007. "Addressing Puzzles in Monetary Dynamics," Quarterly Bulletin Articles, Central Bank of Ireland, pages 121-166, October.
    24. Artur Tarassow, 2017. "Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures," Macroeconomics and Finance Series 201702, University of Hamburg, Department of Socioeconomics.
    25. Fassil Fanta, 2012. "Macroeconomic uncertainty, excess liquidity and stability of money demand (M3) in Australia," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(4), pages 325-344.
    26. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    27. Franz Seitz & Julian von Landesberger, 2012. "Household Money Demand: The Euro Area Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 148(III), pages 409-438, September.
    28. Dieter Nautz & Ulrike Rondorf, 2011. "The (in)stability of money demand in the euro area: lessons from a cross-country analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(4), pages 539-553, November.
    29. Hofmann, Boris, 2006. "Do monetary indicators (still) predict euro area inflation?," Discussion Paper Series 1: Economic Studies 2006,18, Deutsche Bundesbank.
    30. Beyer, Andreas, 2009. "A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth," Working Paper Series 1111, European Central Bank.
    31. Cronin, David & Kennedy, Bernard, 2007. "Does Uncertainty Impact Money Growth? A Multivariate GARCH Analysis," Research Technical Papers 6/RT/07, Central Bank of Ireland.
    32. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    33. K. Azim Özdemir & Mesut Saygılı, 2013. "Economic uncertainty and money demand stability in Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 40(3), pages 314-333, July.
    34. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2008. "Money Demand Stability and Inflation Prediction in the Four Largest EMU Countries," ifo Working Paper Series 61, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    35. Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, Inflation and Asset Prices in a Time-Varying Framework for the Euro Area," Discussion Papers 08/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    36. Shehu El-Rasheed & Hussin Abdullah & Jauhari Dahalan, 2017. "Monetary Uncertainty and Demand for Money Stability in Nigeria: An Autoregressive Distributed Lag Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 601-607.
    37. Browne, Frank & Kelly, Robert, 2010. "Central Bank Credibility and Income Velocity in a Monetary Union," Quarterly Bulletin Articles, Central Bank of Ireland, pages 77-92, October.
    38. C.A.E. Goodhart, 2006. "The ECB and the Conduct of Monetary Policy: Goodhart's Law and Lessons from the Euro Area," Journal of Common Market Studies, Wiley Blackwell, vol. 44(4), pages 757-778, November.
    39. Ivo J. M. Arnold, 2022. "Monetary overhang in times of covid: evidence from the euro area," Applied Economics, Taylor & Francis Journals, vol. 54(35), pages 4030-4042, July.
    40. Christian Heebøll-Christensen, 2011. "Financial Instability - a Result of Excess Liquidity or Credit Cycles?," Discussion Papers 11-21, University of Copenhagen. Department of Economics.
    41. Seitz, Franz & Schmidt, Markus A., 2014. "Money in modern macro models: A review of the arguments," Weidener Diskussionspapiere 37, University of Applied Sciences Amberg-Weiden (OTH).
    42. de Bondt, Gabe, 2009. "Euro area money demand: empirical evidence on the role of equity and labour markets," Working Paper Series 1086, European Central Bank.
    43. Christian Dreger & Jürgen Wolters, 2007. "Instabile Geldnachfrage im Euroraum?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 85-95.
    44. David Cronin & Robert Kelly & Bernard Kennedy, 2011. "Money growth, uncertainty and macroeconomic activity: a multivariate GARCH analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(2), pages 155-167, May.
    45. Tarassow, Artur, 2019. "Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques," International Journal of Forecasting, Elsevier, vol. 35(2), pages 443-457.
    46. Maciej Ryczkowski, 2015. "Ewolucja pogladow Miltona Friedmana, a ocena polityki pienieznej Fed i EBC w okresie kryzysu finansowego," Working Papers 168/2015, Institute of Economic Research, revised Dec 2015.
    47. Chelghoum, Amirouche & Boumimez, Fayçal & Alsamara, Mouyad, 2023. "Asymmetric effects of oil price shocks on the demand for money in Algeria," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 1-11.
    48. Lebre DE Freitas, Miguel, 2022. "International currency substitution and the demand for money in the euro area," Economic Modelling, Elsevier, vol. 117(C).
    49. Allan Kayongo & Asumani Guloba, 2018. "Economic Uncertainty and Money Demand Stability in Uganda during Financial Liberalization: A GARCH and ARDL Approach," Applied Economics and Finance, Redfame publishing, vol. 5(4), pages 70-86, July.
    50. Allan Kayongo & Asumani Guloba & Joseph Muvawala, 2020. "Asymmetric Effects of Exchange Rate on Monetary Policy in Emerging Countries: A Non-Linear ARDL Approach in Uganda," Applied Economics and Finance, Redfame publishing, vol. 7(5), pages 24-37, September.
    51. Berger, Helge & Harjes, Thomas & Stavrev, Emil, 2008. "The ECB's monetary analysis revisited," Discussion Papers 2008/14, Free University Berlin, School of Business & Economics.
    52. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.
    53. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research.
    54. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    55. Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, inflation and asset prices in a time-varying framework for the euro area," Working Paper Research 142, National Bank of Belgium.

Articles

  1. Fabian Eser & Wolfgang Lemke & Ken Nyholm & Sören Radde & Andreea Liliana Vladu, 2023. "Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 359-422, August.
    See citations under working paper version above.
  2. Lemke, Wolfgang & Werner, Thomas, 2020. "Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme," Journal of Banking & Finance, Elsevier, vol. 111(C).
    See citations under working paper version above.
  3. Hans Dewachter & Leonardo Iania & Wolfgang Lemke & Marco Lyrio, 2019. "A macro–financial analysis of the corporate bond market," Empirical Economics, Springer, vol. 57(6), pages 1911-1933, December.
    See citations under working paper version above.
  4. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
    See citations under working paper version above.
  5. Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2015. "Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(3), pages 493-533, June.

    Cited by:

    1. Sungurtekin Hallam, Bahar, 2022. "Emerging market responses to external shocks: A cross-country analysis," Economic Modelling, Elsevier, vol. 115(C).
    2. Riccardo Borghi & Eric Hillebrand & Jakob Mikkelsen & Giovanni Urga, 2018. "The dynamics of factor loadings in the cross-section of returns," CREATES Research Papers 2018-38, Department of Economics and Business Economics, Aarhus University.
    3. Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
    4. Shikha Gupta & Nand Kumar, 2023. "Time varying dynamics of globalization effect in India," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(1), pages 81-97, January.
    5. Joao, Igor Custodio & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2021. "Dynamic clustering of multivariate panel data," Working Paper Series 2577, European Central Bank.
    6. Mathias Klein & Ludger Linnemann, 2018. "Macroeconomic Effects of Government Spending: The Great Recession Was (Really) Different," Discussion Papers of DIW Berlin 1754, DIW Berlin, German Institute for Economic Research.
    7. Herwartz, Helmut & Rohloff, Hannes, 2018. "Less bang for the buck? Assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment," University of Göttingen Working Papers in Economics 358, University of Goettingen, Department of Economics.
    8. Rudrani Bhattacharya & Parma Chakravartti & Sudipto Mundle, 2019. "Forecasting India’s economic growth: a time-varying parameter regression approach," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 12(3), pages 205-228, September.
    9. Massimo Guidolin & Manuela Pedio, 2019. "Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes," BAFFI CAREFIN Working Papers 19118, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
    11. Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
    12. Karin Klieber, 2023. "Non-linear dimension reduction in factor-augmented vector autoregressions," Papers 2309.04821, arXiv.org.
    13. Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
    14. Yanhong Feng & Dilong Xu & Pierre Failler & Tinghui Li, 2020. "Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation," Sustainability, MDPI, vol. 12(16), pages 1-24, August.
    15. Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
    16. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    17. Fu, Zhonghao & Hong, Yongmiao & Wang, Xia, 2023. "Testing for structural changes in large dimensional factor models via discrete Fourier transform," Journal of Econometrics, Elsevier, vol. 233(1), pages 302-331.
    18. Dima, Bogdan & Dima, Ştefana Maria & Ioan, Roxana, 2025. "The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 98(C).
    19. Juan S. Holguín & Jorge M. Uribe, 2020. "The credit supply channel of monetary policy: evidence from a FAVAR model with sign restrictions," Empirical Economics, Springer, vol. 59(5), pages 2443-2472, November.
    20. Pierre Guérin & Danilo Leiva-Leon & Massimiliano Marcellino, 2020. "Markov-Switching Three-Pass Regression Filter," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 285-302, April.
    21. Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
    22. Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
    23. Masud Alam, 2024. "Output, employment, and price effects of U.S. narrative tax changes: a factor-augmented vector autoregression approach," Empirical Economics, Springer, vol. 67(4), pages 1421-1471, October.
    24. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    25. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
    26. Reza Najarzadeh & Alireza Keikha & Hassan Heydari, 2021. "Dynamics of consumption distribution and economic fluctuations," Economic Change and Restructuring, Springer, vol. 54(3), pages 847-876, August.
    27. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    28. Guidolin, Massimo & Hansen, Erwin & Pedio, Manuela, 2019. "Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach," Journal of Financial Markets, Elsevier, vol. 45(C), pages 83-114.
    29. Ying Lun Cheung, 2024. "Identification of Time-Varying Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(1), pages 76-94, January.
    30. Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni, 2019. "Consistent estimation of time-varying loadings in high-dimensional factor models," Journal of Econometrics, Elsevier, vol. 208(2), pages 535-562.
    31. Klieber, Karin, 2024. "Non-linear dimension reduction in factor-augmented vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 159(C).
    32. Paolo Gorgi & Siem Jan Koopman & Julia Schaumburg, 2021. "Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors," Tinbergen Institute Discussion Papers 21-056/III, Tinbergen Institute.
    33. Götz, Thomas B. & Hauzenberger, Klemens, 2018. "Large mixed-frequency VARs with a parsimonious time-varying parameter structure," Discussion Papers 40/2018, Deutsche Bundesbank.
    34. Gorgi, Paolo & Koopman, Siem Jan & Schaumburg, Julia, 2024. "Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 244(2).
    35. Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2020. "The economic drivers of volatility and uncertainty," Temi di discussione (Economic working papers) 1285, Bank of Italy, Economic Research and International Relations Area.
    36. Corradin, Stefano & Schwaab, Bernd, 2023. "Euro area sovereign bond risk premia before and during the Covid-19 pandemic," European Economic Review, Elsevier, vol. 153(C).

  6. Ejsing, Jacob & Lemke, Wolfgang, 2011. "The Janus-headed salvation: Sovereign and bank credit risk premia during 2008-2009," Economics Letters, Elsevier, vol. 110(1), pages 28-31, January.

    Cited by:

    1. Jamal Bouoiyour, Refk Selmi, 2019. "Brexit and CDS spillovers across UK and Europe," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(1), pages 105-124, June.
    2. Drago, Danilo & Gallo, Raffaele, 2017. "The impact of sovereign rating changes on the activity of European banks," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 99-112.
    3. Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
    4. Bicu, Andreea & Candelon, Bertrand, 2013. "On the importance of indirect banking vulnerabilities in the Eurozone," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5007-5024.
    5. Ms. Eva Jenkner & Zhongjin Lu, 2014. "Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?," IMF Working Papers 2014/020, International Monetary Fund.
    6. Neyer, Ulrike & Sterzel, André, 2017. "Capital requirements for government bonds: Implications for bank behaviour and financial stability," DICE Discussion Papers 275, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    7. Marta Gómez-Puig & Simón Sosvilla-Rivero, 2011. "Causality and contagion in peripheral EMU public debt markets: a dynamic approach," Working Papers del Instituto Complutense de Estudios Internacionales 1108, Universidad Complutense de Madrid, Instituto Complutense de Estudios Internacionales.
    8. Gerald Eisenkopf & Zohal Hessami & Urs Fischbacher & Heinrich Ursprung, 2011. "Academic Performance and Single-Sex Schooling: Evidence from a Natural Experiment in Switzerland," Working Paper Series of the Department of Economics, University of Konstanz 2011-34, Department of Economics, University of Konstanz.
    9. Gilles Dufrénot & Karine Gente & Frédia Monsia, 2016. "Macroeconomic imbalances, financial stress and fiscal vulnerability in the euro area before the debt crises: A market view," Post-Print hal-01440301, HAL.
    10. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    11. Scott E. Page, 2012. "A complexity perspective on institutional design," Politics, Philosophy & Economics, , vol. 11(1), pages 5-25, February.
    12. Guntram B. Wolff, 2012. "Are banks affected by their holdings of government debt?," Bruegel Working Papers 717, Bruegel.
    13. Heinemann, Friedrich & Osterloh, Steffen & Kalb, Alexander, 2014. "Sovereign risk premia: The link between fiscal rules and stability culture," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 110-127.
    14. Mascia Bedendo & Paolo Colla, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Post-Print hal-01157174, HAL.
    15. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 88, pages 63-75.
    16. Jennie Bai & Shang-Jin Wei, 2012. "When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads," NBER Working Papers 18600, National Bureau of Economic Research, Inc.
    17. Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019. "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
    18. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    19. Oleg Deev & Martin Hodula, 2016. "Sovereign default risk and state-owned bank fragility in emerging markets: evidence from China and Russia," Post-Communist Economies, Taylor & Francis Journals, vol. 28(2), pages 232-248, April.
    20. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2012. "Liquidity and credit risk premia in government bond yields," Working Paper Series 1440, European Central Bank.
    21. Valerie De Bruyckere & Maria Gerhardt & Glenn Schepens & Rudi Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Paper Research 232, National Bank of Belgium.
    22. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Sovereign bond holdings and monetary policy operations in the euro area," Journal of Policy Modeling, Elsevier, vol. 40(6), pages 1243-1254.
    23. Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
    24. Huizinga, Harry & Ioannidou, Vasso & Horváth, Bálint, 2015. "Determinants and Valuation Effects of the Home Bias in European Banks' Sovereign Debt Portfolios," CEPR Discussion Papers 10661, C.E.P.R. Discussion Papers.
    25. Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Sovereign-bank linkages: Quantifying directional intensity of risk transfers in EMU countries," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 137-164.
    26. Kallestrup, René & Lando, David & Murgoci, Agatha, 2016. "Financial sector linkages and the dynamics of bank and sovereign credit spreads," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 374-393.
    27. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2017. "Sovereign bond market reactions to no-bailout clauses and fiscal rules – The Swiss experience," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 319-343.
    28. Chan-Lau, Jorge A. & Liu, Estelle X. & Schmittmann, Jochen M., 2013. "Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis," Discussion Papers 32/2013, Deutsche Bundesbank.
    29. Jan Bruha & Evžen Kocenda, 2017. "Financial Stability in Europe: Banking and Sovereign Risk," CESifo Working Paper Series 6453, CESifo.
    30. amri amamou, souhir & hellara, slaheddine, 2021. "The dynamic relationship between the sovereign CDS market and the Eurozone sovereign bond market (classified by maturity): Contagion or Spillovers?," MPRA Paper 109038, University Library of Munich, Germany.
    31. Lorenzo Esposito & Giuseppe Mastromatteo, 2019. "Defaultnomics: Making Sense of the Barro-Ricardo Equivalence in a Financialized World," Economics Working Paper Archive wp_933, Levy Economics Institute.
    32. Alessandra Ortolano & Eliana Angelini, 2020. "Do CDS spread determinants affect the probability of default? A study on the EU banks," Bank i Kredyt, Narodowy Bank Polski, vol. 51(1), pages 1-32.
    33. Viral Acharya & Itamar Drechsler & Philipp Schnabl, 2014. "A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk," Journal of Finance, American Finance Association, vol. 69(6), pages 2689-2739, December.
    34. Athanasios O. Tagkalakis, 2014. "Financial stability indicators and public debt developments," Working Papers 179, Bank of Greece.
    35. von Borstel, Julia & Eickmeier, Sandra & Krippner, Leo, 2016. "The interest rate pass-through in the euro area during the sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 68(C), pages 386-402.
    36. Feld, Lars P. & Kalb, Alexander & Moessinger, Marc-Daniel & Osterloh, Steffen, 2013. "Sovereign bond market reactions to fiscal rules and no-bailout clauses: The Swiss experience," ZEW Discussion Papers 13-034, ZEW - Leibniz Centre for European Economic Research.
    37. Jing Cheng & Meixing Dai & Frédéric Dufourt, 2014. "Banking and Sovereign Debt Crises in a Monetary Union Without Central Bank Intervention," AMSE Working Papers 1428, Aix-Marseille School of Economics, France, revised Jun 2014.
    38. Vetlov, Igor & Attinasi, Maria Grazia & Lalik, Magdalena, 2017. "Fiscal spillovers in the euro area a model-based analysis," Working Paper Series 2040, European Central Bank.
    39. Baselga-Pascual, Laura & Loban, Lidia & Myllymäki, Emma-Riikka, 2025. "Bank credit risk and sovereign debt exposure: Moral hazard or hedging?," Finance Research Letters, Elsevier, vol. 71(C).
    40. Peltonen, Tuomas A. & Scheicher, Martin & Vuillemey, Guillaume, 2014. "The network structure of the CDS market and its determinants," Journal of Financial Stability, Elsevier, vol. 13(C), pages 118-133.
    41. John Cotter & Davide Avino, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," Working Papers 201402, Geary Institute, University College Dublin.
    42. Afonso, António & Jalles, João Tovar & Kazemi, Mina, 2020. "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads," International Review of Law and Economics, Elsevier, vol. 63(C).
    43. filippo gori, 2012. "The risk of self-protection: the role of bank bailout guarantees in channelling sovereign credit risk internationally," IHEID Working Papers 12-2014, Economics Section, The Graduate Institute of International Studies, revised 30 Nov 2014.
    44. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    45. De Santis, Roberto A., 2012. "The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal," Working Paper Series 1419, European Central Bank.
    46. V. De Bruyckere & M. Gerhardt & G. Schepens & R. Vander Vennet, 2012. "Bank/sovereign risk spillovers in the European debt crisis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/828, Ghent University, Faculty of Economics and Business Administration.
    47. Ricardo Correa & Kuan-Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2012. "Sovereign credit risk, banks' government support, and bank stock returns around the world," International Finance Discussion Papers 1069, Board of Governors of the Federal Reserve System (U.S.).
    48. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
    49. Vergote, Olivier, 2016. "Credit risk spillover between financials and sovereigns in the euro area during 2007-2015," Working Paper Series 1898, European Central Bank.
    50. Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
    51. Giovanni Covi & Ulrich Eydam, 2020. "End of the sovereign-bank doom loop in the European Union? The Bank Recovery and Resolution Directive," Journal of Evolutionary Economics, Springer, vol. 30(1), pages 5-30, January.
    52. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
    53. Podstawski, Maximilian & Velinov, Anton, 2018. "The state dependent impact of bank exposure on sovereign risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 63-75.
    54. Jennie Bai & Shang-Jin Wei, 2017. "Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
    55. Guillaume Vuillemey, 2015. "Derivatives markets : from bank risk management to financial stability [Les marchés de dérivés : gestion des risques bancaires et stabilité financière]," SciencePo Working papers Main tel-03507099, HAL.
    56. Engler, Philipp & Grosse Steffen, Christoph, 2015. "Sovereign risk, interbank freezes, and aggregate fluctuations," Working Paper Series 1840, European Central Bank.
    57. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
    58. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
    59. G. Hübner & R. Joliet, 2013. "Government debt denomination policies before and after the EMU advent," Post-Print hal-00787175, HAL.
    60. Hill, Paula & Bissoondoyal-Bheenick, Emawtee & Faff, Robert, 2018. "New evidence on sovereign to corporate credit rating spill-overs," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 209-225.
    61. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance, revised Feb 2015.
    62. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    63. Tholl, Johannes & Schwarzbach, Christoph & Pittalis, Sandro & von Mettenheim, Hans-Jörg, 2020. "Bank funding and the recent political development in Italy: What about redenomination risk?," International Review of Law and Economics, Elsevier, vol. 64(C).
    64. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    65. Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics Discussion Papers 2014-9, Kiel Institute for the World Economy (IfW Kiel).
    66. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
    67. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
    68. Ashoka Mody & Damiano Sandri, 2012. "The eurozone crisis: how banks and sovereigns came to be joined at the hip [‘A pyrrhic victory? Bank bailouts and sovereign credit risk’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(70), pages 199-230.
    69. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    70. Betz, Frank & Hautsch, Nikolaus & Peltonen, Tuomas A. & Schienle, Melanie, 2016. "Systemic risk spillovers in the European banking and sovereign network," Working Paper Series in Economics 79, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    71. Chamizo, Álvaro & Novales, Alfonso, 2020. "Looking through systemic credit risk: Determinants, stress testing and market value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    72. Ms. Franziska L Ohnsorge & Marcin Wolski & Ms. Yuanyan S Zhang, 2014. "Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices," IMF Working Papers 2014/081, International Monetary Fund.
    73. Lakdawala, Aeimit & Minetti, Raoul & Olivero, María Pía, 2018. "Interbank markets and bank bailout policies amid a sovereign debt crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 131-153.
    74. Julio Galvez & Javier Mencía, 2014. "Distributional Linkages between European Sovereign Bond and Bank Asset Returns," Working Papers wp2014_1407, CEMFI.
    75. Massimiliano Caporin & Gisle J. Natvik & Francesco Ravazzolo & Paolo Santucci de Magistris, 2017. "The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode," CREATES Research Papers 2017-25, Department of Economics and Business Economics, Aarhus University.
    76. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
    77. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    78. Alter, Adrian & Beyer, Andreas, 2012. "The dynamics of spillover effects during the European sovereign debt turmoil," CFS Working Paper Series 2012/13, Center for Financial Studies (CFS).
    79. Mink, Mark & de Haan, Jakob, 2013. "Contagion during the Greek sovereign debt crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 102-113.
    80. Andrea Cardillo & Andrea Zaghini, 2012. "The recent trends in long-term bank funding," Questioni di Economia e Finanza (Occasional Papers) 137, Bank of Italy, Economic Research and International Relations Area.
    81. Anna Iara & Guntram Wolff, 2014. "Rules and risk in the Euro area," ULB Institutional Repository 2013/386950, ULB -- Universite Libre de Bruxelles.
    82. Andrea Zaghini, 2014. "Bank bonds: size, systemic relevance and the sovereign," Temi di discussione (Economic working papers) 966, Bank of Italy, Economic Research and International Relations Area.
    83. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach," MPRA Paper 89998, University Library of Munich, Germany.
    84. Andreeva, Desislava & Vlassopoulos, Thomas, 2016. "Home bias in bank sovereign bond purchases and the bank-sovereign nexus," Working Paper Series 1977, European Central Bank.
    85. Willem Vanlaer & Mattia Picarelli & Wim Marneffe, 2021. "Debt and Private Investment: Does the EU Suffer from a Debt Overhang?," Open Economies Review, Springer, vol. 32(4), pages 789-820, September.
    86. Michiel Bijlsma & Jasper Lukkezen & Kristina Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," CPB Discussion Paper 268, CPB Netherlands Bureau for Economic Policy Analysis.
    87. Radde, Sören & Checherita-Westphal, Cristina & Cui, Wei, 2015. "Government bond liquidity and sovereign-bank interlinkages," SFB 649 Discussion Papers 2015-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    88. Große Steffen, Christoph, 2015. "Uncertainty shocks and non-fundamental debt crises: An ambiguity approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112936, Verein für Socialpolitik / German Economic Association.
    89. Kocsis, Zalan & Monostori, Zoltan, 2016. "The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences," Emerging Markets Review, Elsevier, vol. 27(C), pages 140-168.
    90. Christian de Peretti & Dorra Hmaied, 2018. "The Credit Default Swap market contagion during recent crises: International evidence," Post-Print hal-01572510, HAL.
    91. González-Fernández, Marcos & González-Velasco, Carmen, 2020. "A sentiment index to measure sovereign risk using Google data," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 406-418.
    92. Lidija Lovreta & Joaquín López Pascual, 2020. "Structural breaks in the interaction between bank and sovereign default risk," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 11(4), pages 531-559, December.
    93. Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013. "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3694-3703.
    94. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
    95. M. Bijlsma & J.H.J. Lukkezen & K. Marinova, 2014. "Measuring too-big-to-fail funding advantages from small banks’ CDS spreads," Working Papers 14-03, Utrecht School of Economics.
    96. Michaelides, Panayotis G. & Tsionas, Efthymios G. & Konstantakis, Konstantinos N., 2018. "Debt dynamics in Europe: a network general equilibrium GVAR approach," LSE Research Online Documents on Economics 86865, London School of Economics and Political Science, LSE Library.
    97. Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
    98. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
    99. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
    100. Alberto Dreassi & Stefano Miani & Andrea Paltrinieri & Alex Sclip, 2018. "Bank-Insurance Risk Spillovers: Evidence from Europe," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 72-96, January.
    101. Ureche-Rangau, Loredana & Burietz, Aurore, 2013. "One crisis, two crises…the subprime crisis and the European sovereign debt problems," Economic Modelling, Elsevier, vol. 35(C), pages 35-44.
    102. Li, Shanshan & Lu, Liping, 2023. "No-bailout event and local bank-government nexus in China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    103. Gwion Williams & Rasha Alsakka & Owain ap Gwilym, 2013. "The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis," Working Papers 13007, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    104. Gomez-Puig, Marta & Singh, Manish K. & Sosvilla-Rivero, Simon, 2019. "The sovereign-bank nexus in peripheral euro area: Further evidence from contingent claims analysis," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 1-26.
    105. Alsakka, Rasha & ap Gwilym, Owain, 2013. "Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 144-162.
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    108. Marcos González-Fernández & Carmen González-Velasco, 2018. "Bond Yields, Sovereign Risk and Maturity Structure," Risks, MDPI, vol. 6(4), pages 1-25, September.
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  7. Axel A. Weber & Wolfgang Lemke & Andreas Worms, 2008. "How useful is the concept of the natural real rate of interest for monetary policy?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 32(1), pages 49-63, January.

    Cited by:

    1. J. Boeckx & N. Cordemans & M. Dossche, 2013. "Causes and implications of the low level of the risk-free interest rate," Economic Review, National Bank of Belgium, issue ii, pages 63-88, September.
    2. van Riet Ad, 2019. "Twenty Years of European Central Bank Monetary Policy: A Keynesian and Austrian Perspective," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 797-840, October.
    3. Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
    4. Melissa van Rensburg, 2023. "Long-run trends in New Zealand’s real neutral interest rate," Treasury Analytical Notes Series an23/05, New Zealand Treasury.
    5. Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Paper series 18-29, Rimini Centre for Economic Analysis.
    6. Philip Arestis & Luiz Fernando de Paula & Fernando Ferrari-Filho, 2008. "Inflation Targeting in Brazil," Economics Working Paper Archive wp_544, Levy Economics Institute.
    7. Olmos, Lorena & Sanso Frago, Marcos, 2014. "Natural Rate of Interest with Endogenous Growth, Financial Frictions and Trend Inflation," MPRA Paper 57212, University Library of Munich, Germany.
    8. Neri, Stefano & Gerali, Andrea, 2019. "Natural rates across the Atlantic," Journal of Macroeconomics, Elsevier, vol. 62(C).
    9. Branko Zivanovic & Milena Kovacevic & Una Vukoje, 2011. "Misconduct of the Key Policy Rate: The Case of Serbia," Book Chapters, in: Mirjana Radovic Markovic & Srdjan Redzepagic & João Sousa Andrade & Paulino Teixeira (ed.), Serbia and the European Union: Economic Lessons from the New Member States, edition 1, volume 1, chapter 10, pages 147-163, Institute of Economic Sciences.
    10. Krustev, Georgi, 2018. "The natural rate of interest and the financial cycle," Working Paper Series 2168, European Central Bank.
    11. Romain Bouis & Łukasz Rawdanowicz & Jean-Paul Renne & Shingo Watanabe & Ane Kathrine Christensen, 2013. "The Effectiveness of Monetary Policy since the Onset of the Financial Crisis," OECD Economics Department Working Papers 1081, OECD Publishing.
    12. Alfonso Palacio Vera, 2008. "Money wage rigidity, monopoly power and hysteresis," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 08-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    13. Bindseil, Ulrich & Domnick, Clemens & Zeuner, Jörg, 2015. "Critique of accommodating central bank policies and the 'expropriation of the saver' - A review," Occasional Paper Series 161, European Central Bank.
    14. Philip Arestis & Malcolm Sawyer, 2010. "What Monetary Policy after the Crisis?," Review of Political Economy, Taylor & Francis Journals, vol. 22(4), pages 499-515.
    15. Correa Romar, 2015. "The Coordination Problem in the Stockholm School," Journal of Heterodox Economics, Sciendo, vol. 2(2), pages 138-150, December.
    16. Dmitry Chervyakov & Philipp König, 2017. "The Natural Rate of Interest II: Empirical Overview," DIW Roundup: Politik im Fokus 109, DIW Berlin, German Institute for Economic Research.
    17. Alfonso Palacio Vera, 2008. "The "New consensus"and the Post-Keynesian approach to the analysis of liquidity traps," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 08-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    18. Olmos, Lorena & Sanso Frago, Marcos, 2014. "Non-linear effects of the U.S. Monetary Policy in the Long Run," MPRA Paper 57770, University Library of Munich, Germany.

  8. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
    See citations under working paper version above.
  9. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
    See citations under working paper version above.
  10. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
    See citations under working paper version above.

Books

  1. Wolfgang Lemke & Deutsche Bundesbank, 2006. "Term Structure Modeling and Estimation in a State Space Framework," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-28344-7, December.

    Cited by:

    1. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," AMSE Working Papers 1932, Aix-Marseille School of Economics, France.

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