Latest Breaking News On - Directorate general economics - Page 8 : comparemela.com

Authors

Authors
ecb.europa.eu - get the latest breaking news, showbiz & celebrity photos, sport news & rumours, viral videos and top stories from ecb.europa.eu Daily Mail and Mail on Sunday newspapers.

Economics departmentEuropean central bankSteering committeeHead of divisionResearch visitorMonetary policy research divisionEconometric modelling divisionDeutsche bundesbankGroup on econometricMonetary policy research unitEconomic research divisionDeputy head of divisionMonetary policy committeePolicy modelling divisionDirectorate general economicsEuropean central

Papers by Erik Frohm
ecb.europa.eu - get the latest breaking news, showbiz & celebrity photos, sport news & rumours, viral videos and top stories from ecb.europa.eu Daily Mail and Mail on Sunday newspapers.

Sveriges riksbankStatistics divisionSwedish competition authorityEuropean central bankEuro area external sector divisionResearch divisionMonetary policy departmentArea external sector divisionDirectorate general economicsEuropean centralDemand divisionSwedish competitionபுள்ளிவிவரங்கள் பிரிவுஸ்விட்ச் போட்டி அதிகாரம்ஐரோப்பிய மைய வங்கிஆராய்ச்சி பிரிவு

Papers by Dimitris Georgarakos

Abstract Do negative policy rates hinder banks’ transmission of monetary policy? To answer this question, we examine the behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher ratios of retail overnight deposits to total assets charge more on new fixed rate mortgages. This suggests that the funding structure of banks may matter for the transmission of negative policy rates, especially for long-maturity illiquid assets. Nevertheless, the aggregate economic implications for households are small, suggesting that concerns about inefficient monetary policy transmission to households under modestly negative rates are likely overstated. JEL Code

United kingdomQueen maryUniversity of londonDeutsche bundesbankGoethe universityEuropean central bankMonetary policy research divisionResearch centreMonetary analysis divisionPolicy research divisionDirectorate general researchEuropean centralAnalysis divisionDirectorate general economicsஒன்றுபட்டது கிஂக்டம்ராணி மேரி

Papers by Simone Manganelli

Abstract The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws. In the process, we show that the Historical Simulation method and its variants can be considered as special cases of the CAViaR framework developed by Engle and Manganelli (1999). We also provide two original methodological contributions. The first one introduces the extreme value theory into the CAViaR model. The second one concerns the estimation of the expected shortfall (the expected loss, given that the return exceeded the VaR) using a regression technique. The performance of the models surveyed in the paper is evaluated using a Monte Carlo simulation. We generate data using GARCH processes with different distributions and compare the estimated quantiles to the true ones. The results show that CAViaR models perform best with heavy-tailed DGP.

Monetary policy stance divisionFinancial research divisionEuropean central bankHead of divisionMarket operations analysis divisionResearch divisionDirectorate general researchEuropean centralPolicy stance divisionDirectorate general economicsOperations analysis divisionDirectorate general market operationsபண பாலிஸீ நிலைப்பாடு பிரிவுநிதி ஆராய்ச்சி பிரிவுஐரோப்பிய மைய வங்கிதலை ஆஃப் பிரிவு

Papers by Manfred Kremer

Abstract After a period of about two years with fairly steady price increases and persistently low volatility, global stock markets experienced a notable price and volatility correction in early February 2018. Before this correction, policy authorities had become concerned about the benign volatility conditions, since low volatility may lead market participants to take on excessive risk and thereby create risks to financial stability (the “volatility paradox”). Against this background, a return to conditions of higher volatility could, on the one hand, be regarded as a welcome normalisation. On the other hand, a “disorderly” stock market correction with sharp price declines and large price fluctuations might itself pose risks to financial and economic stability.

Financial structure divisionEconomics departmentEuropean central bankStrategy review project officeHead of financial markets research sectionUniversity of duisburgDeutsche bundesbankFinancial research divisionDeputy head of divisionEuropean centralFinancial markets researchDirectorate general researchResearch divisionDirectorate general economicsPrincipal economistCapital markets section