This paper proposes an operational approach to stress testing, allowing one to assess the banking sector’s vulnerability in multiple plausible macro-financial scenarios. The approach helps iden...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2941~28e2ec1e42.en.pdf
The emergence of generative artificial intelligence (AI) tools represents a significant technological leap forward, with the potential to have a substantial impact on the financial system. Concep...
This paper provides an overview of stress-testing methodologies in Europe, with a focus on the advancements made by the European Central Bank’s Financial Stability Committee Working Group on St...
https://www.ecb.europa.eu//pub/pdf/scpops/ecb.op348~6b72fbe3cf.en.pdf
This paper discusses the recent wave of research that has emphasized the importance of measures of consumers’ inflation expectations. In contrast to other measures of expected inflation, such a...
https://www.ecb.europa.eu//pub/pdf/scpdps/ecb.dp24~9b349a69b7.en.pdf
Geopolitical risk can be a threat to financial stability and the global economy. It can adversely affect the economy and financial markets and consequently have a negative impact on the funding, ...
This study re-assesses the validity of the quantity theory of money (QTM) for the very long sample, 1870 to 2020, for 18 industrial countries using the dataset from Jordà et al. (2017). It consi...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp.2940.en.pdf
In financial crises, the premium on liquid assets such as US Treasuries increases alongside credit spreads. This paper explains the link between the liquidity premium and spreads. We present a th...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2939~b796389f28.en.pdf
This paper presents the updated macroprudential stress test for the euro area banking system, comprising around 100 of the largest euro area credit institutions across 19 countries. The approach ...
https://www.ecb.europa.eu//pub/pdf/scpops/ecb.op347~8a4d1849ab.en.pdf
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We qu...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2938~6616ac1857.en.pdf
We construct a novel measure of bank performance, investigate its determinants, and show that it affects bank resilience, lending behaviour and real outcomes. Using confidential and granular data...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2937~7e22f4dc25.en.pdf
In this paper I investigate the retirement-consumption puzzle in Italy for the period 2010-2016, using SHIW data. In order to address the endogeneity of the retirement decision, I estimate the ef...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2936~a737938856.en.pdf
We establish basic facts about the external finance premium. Tens of millions of individual loan contracts extended to euro area firms allow studying the determinants of the external finance prem...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2934~c3addfeb73.en.pdf
We evaluate how the euro area economy would have performed since mid-2021 under alternative monetary policy strategies. We use the ECB’s workhorse estimated DSGE model and contrast actual polic...
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2935~639250ee2b.en.pdf
Latest releases on the ECB website - Publications
https://www.ecb.europa.eu//pub/pdf/other/ecb.mepletter240426_Zanni_and_Rinaldi~081014d462.en.pdf
Latest releases on the ECB website - Publications
https://www.ecb.europa.eu//press/economic-bulletin/html/eb202403.en.html