The paper investigates the impact of euro adoption on sovereign credit ratings and on long-term rates experienced until the 20th anniversary of the euro. The three pillars of the research are (1) the analysis of the scoring methodology of Credit Rating Agencies, (2) the empirical investigation o...
As a response to the global financial crisis that started in 2008, many countries established dedicated resolution regimes that seek to limit the use of taxpayer money while maintaining the functions of failing banks that are critical for financial stability. This paper extends the existing rese...
The leverage ratio is an important part of the post-crisis regulatory framework. It was initially proposed by the Basel Committee on Banking Supervision (BCBS) in December 2009 and is expected to be introduced as a Pillar 1 standard by 1 January 2018. The ESRB considers the leverage ratio to be ...
This paper contributes to the debate on liquidity in resolution by providing a quantitative assessment of liquidity gaps of banks in resolution in the euro area. It estimates possible ranges of liquidity gaps for significant banks under different assumptions and scenarios. The findings suggest t...
We consider the effects of quantitative easing on liquidity and prices of bonds in a search- and matching model. The model explicitly distinguishes between demand and supply effects of central bank asset purchases. Both are shown to lead to a decline in yields, while they have opposite effects o...
We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the period 1999.01-2010.12. We find that, on top of the fundamentals themselves, changes in the sensitivity of bond prices to fundamentals are also necessary to explain yields over the...
We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries. The seven diary surveys were conducted in 2009 (Canada), 2010 (Australia), 2011 (Austria, France, Germany and the Netherlands), and 2012 (the United States). Our paper finds cross-country differences – f...
Liquidity in resolution is one of the unresolved elements of the Single Resolution Mechanism. Currently, with the Single Resolution Fund (SRF) and the Eurosystem, there are two potential sources of liquidity in resolution, which both have clear limitations in use and amounts. Straightforward sol...