https://www.esm.europa.eu/publications/leaning-against-persistent-financial-cycles-occasional-crises Title: Leaning against persistent financial cycles with occasional crises Download PDF: Working Paper 56 This paper quantitatively investigates conditions under which a leaning against the wind (LAW)-type monetary policy is advisable to address risks to financial stability. Authors: Thore Kockerols...

https://www.esm.europa.eu/publications/global-efforts-fight-consequences-climate-change-role-regional-financing-arrangements Title: Global efforts to fight the consequences of climate change: the role of Regional Financing Arrangements Authors: Graciela Schiliuk, Dominika Miernik, Jens Lapointe-Rohde (ESM); Habib Attia (AMF); Aziz Durrani, Marthe Memoracion Hinojales, Faith Qiying Pang (AMRO); Gennady Vasiliev, Artem...

https://www.esm.europa.eu/publications/wholesale-central-bank-digital-currency-safe-way-debt-capital-market-efficiency Title: Wholesale central bank digital currency – the safe way to debt capital market efficiency Authors: Josselin Hebert (ESM), Edmund Moshammer (ESM), Herbert Barth Abstract: In this paper we analyse the usefulness of digital currencies for wholesale financial transactions in Europe. Currently...

https://www.esm.europa.eu/publications/asset-purchases-and-sovereign-risk-premia-euro-area-during-pandemic Title: Asset purchases and sovereign risk premia in the euro area during the pandemic Download PDF: Working Paper 55 This paper traces the impact of asset purchases during the Covid-19 pandemic on sovereign risk premia, distinguishing between announcements, expectations, and implementation effects...

https://www.esm.europa.eu/publications/expectations-and-term-premia-efsf-bond-yields Title: Expectations and term premia in EFSF bond yields Download PDF: Working Paper 54 This paper offers the first study of the term structure of EFSF bond yields and a decomposition into expected interest rates and term premia. Authors: Andrea Carriero (Queen Mary University of London, University...

https://www.esm.europa.eu/publications/aggregate-skewness-and-business-cycle Title: Aggregate skewness and the business cycle Download PDF: Working Paper 53 This paper introduces a new measure to assess the balance of economy-wide risks and shows how changing risks relate to business cycle dynamics. Authors: Martin Iseringhausen (ESM), Ivan Petrella (University of Warwick...

https://www.esm.europa.eu/publications/case-loan-based-euro-area-stability-fund Title: The case for a loan-based euro area stability fundDownload PDF: Discussion Paper 20Authors: Florian Misch and Martin Rey (both ESM)Abstract:A greater likelihood of significant asymmetric shocks, the war in Ukraine, and stretched fiscal space all underscore the importance of establishing a...

https://www.esm.europa.eu/publications/japans-sovereign-rating-post-pandemic-era Title: Japan’s sovereign rating in the post-pandemic era Download PDF: Working Paper 52 This paper provides an outlook of Japan’s credit rating using market and fundamental data-driven models. Authors: Jinho Choi, Alexander den Ruijter, Kimi Xu Jiang, and Edmund Moshammer Abstract: We assess Japan’s...

https://www.esm.europa.eu/publications/journey-history-sovereign-defaults-domestic-law-public-debt Title: A journey in the history of sovereign defaults on domestic-law public debt Download PDF: Working Paper 51 This paper uses a novel database to provide a unique overview of the last four decades of sovereign debt restructuring of public debt governed by local law. Authors: Aitor Erce (Navarra...

https://www.esm.europa.eu/publications/how-programme-evaluations-can-benefit-quality-life-considerations Title: How programme evaluations can benefit from quality of life considerations Download PDF: Discussion Paper 19 Authors: Olga Francová, Kari Korhonen and Dušan Kovačević Abstract: This study considers to what extent quality of life criteria, as defined in the Organisation for Economic Cooperation...

https://www.esm.europa.eu/publications/investor-demand-syndicated-bond-issuances-stylised-facts Title: Investor demand in syndicated bond issuances: stylised facts Download PDF: Working Paper 50 This paper analyses investor demand dynamics in primary bond markets, looking at different market segments, investor types, pricing impact, and demand overshooting. Authors: Martin Hillebrand (ESM)...

https://www.esm.europa.eu/publications/safeguarding-euro-times-crisis Go to the online ESM book: Safeguarding the euro in times of crisis: The inside story of the ESM Global financial leaders and ESM insiders provide a rich stock of perspectives and anecdotes that bring to life the urgency of the euro area crisis as well as the innovative solutions found to resolve it...

https://www.esm.europa.eu/publications/regional-responses-covid-19-crisis-comparative-study-economic-policy-and-institutional Title: Regional responses to the Covid-19 crisis: a comparative study from economic, policy, and institutional perspectives Download PDF: Discussion Paper 18 Authors: Graciela Schiliuk (ESM), Tullio Buccellato (ESM), Jens Lapointe-Rohde, Georgios Palaiodimos* Habib Attia – Arab Monetary Fund (AMF)...

https://www.esm.europa.eu/publications/eu-fiscal-rules-reform-considerations Title: EU fiscal rules: reform considerations Download PDF: Discussion Paper 17 Authors: Olga Francová, Ermal Hitaj, John Goossen, Robert Kraemer, Andreja Lenarčič, and Georgios Palaiodimos Note: Andreja Lenarčič and Georgios Palaiodimos contributed to this paper when employed at the ESM. Abstract...

https://www.esm.europa.eu/publications/time-varying-skewness-model-growth-risk Download PDF: Working Paper 49 This paper develops a new empirical model to study macro-financial risks and shows that changing financial conditions can signal risks to the path of future economic growth. Author: Martin Iseringhausen (ESM) Abstract: This paper studies macroeconomic risks in a panel...

https://www.esm.europa.eu/publications/esm-annual-report-2020 Go to the online: ESM Annual Report 2020 The annual report contains a description of the ESM's policies, activities, financial statements and economic developments in 2020. Additionally, it contains an external auditor's report and a report of the Board of Auditors.

https://www.esm.europa.eu/publications/fiscal-policy-shocks-and-stock-prices-united-states Download PDF: Working Paper 48 This paper shows that fiscal policies seeking to stimulate long-run economic activity lead to higher stock prices Authors: Haroon Mumtaz (Queen Mary University) and Konstantinos Theodoridis (ESM) Abstract: This paper uses structural vector autoregressive models (SVARs)...

https://www.esm.europa.eu/publications/euro-world Download PDF: Discussion Paper 16 Authors: Gergely Hudecz, Edmund Moshammer, Alexander Raabe, and Gong Cheng Abstract: The question of whether the international monetary and financial system is, or should be, moving toward a more ’multipolar’ character has received much attention in recent years...

https://www.esm.europa.eu/publications/voluntary-debt-restructuring-2017-greek-%E2%82%AC296-billion-bond-exchange-explained Download PDF: Discussion Paper 15 Authors: Jasper Aerts, Gabriela Olariu and Efstathios Sofos Abstract: This paper showcases the Greek 2017 liability management exercise as an example of a successful voluntary debt restructuring by a sovereign with active participation from both public and private...

https://www.esm.europa.eu/publications/state-dependence-labour-market-fluctuations Download PDF: Working Paper 47 This paper shows that labour market variables respond in a significantly different way to the same productivity shocks across different phases of the business cycle. Authors: Carlo Pizzinelli (IMF), Konstantinos Theodoridis (ESM), Francesco Zanetti (University of...