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Statistical Decision Functions with Judgment
In: ECB Working Paper No. 2021/2512
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Working paper
Financial Conditions, Business Cycle Fluctuations and Growth at Risk
In: ECB Working Paper No. 20202470
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Working paper
Monetary Policy with Judgment
In: FRB of Cleveland Working Paper No. 20-14
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Working paper
Forecasting and Stress Testing with Quantile Vector Autoregression
In: ECB Working Paper No. 2330
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Working paper
Financial development, sectoral reallocation, and volatility: International evidence
In: Journal of international economics, Band 96, Heft 2, S. 323-337
ISSN: 0022-1996
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What drives spreads in the euro area government bond market?
In: Economic policy, Band 24, Heft 58, S. 191-240
ISSN: 1468-0327
Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
This paper studies the determinants of interest rate spreads of euro area 10 year government bonds against the benchmark, the German bund, after the introduction of the euro. In particular, it pays attention to the question whether market discipline is advanced or obstructed by financial integration and by fiscal rules like the Stability and Growth Pact. We first argue that financial integration – by improving market efficiency – is instrumental for markets to exert their disciplinary role. Next, we discuss the relationships between market discipline and fiscal rules, arguing that these in principle may reinforce each other. Finally, we provide strong empirical evidence that spreads depend on the ratings of the underlying bond and to a large extent are driven by the level of short-term interest rates.
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