Stock-bond correlation and the bond quality ratio: Removing the discount factor to generate a “deflated” stock index

This paper investigates the cyclical co-movements between US stocks and interest rates by testing a simple model where divergence between stock and bond price behavior is explained by “stock market strength,” where the latter depends on the market climate about future corporate profits—as captured by the corporate bond quality ratio—and an unexplained stock market sentiment. Using two different regression techniques to check for robustness, we find evidence of a statistically significant cyclical correlation between stocks and bonds. On the basis of this finding, we then present a methodology to “deflate” a stock price index such that we can compare stock market strength over time. This is obtained by removing the effect of a changing discount rate—as measured by our regressions—on stock prices. For example, viewed in this light, the past five years in the US stock market reveal a wider fluctuation in stock market strength than we can observe on the basis of stock price indices alone.Stock-bond correlation, Market sentiment, Stock price.

The Impact of Central Bank Announcements on Asset Prices in Real Time: Testing the Efficiency of the Euribor Futures Market

This paper examines the effect of European Central Bank communication on the price discovery process in the Euribor futures market using a new tick-by-tick dataset. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate decision and the explanation of its monetary policy stance. Second, we find that the unexpected component of ECB explanations has a significant and sizeable impact on futures prices. This indicates that the ECB has already acquired some credibility: financial markets seem to believe that it does what it says it will do. Finally, our results suggest that the Euribor futures market is semi-strong form informational efficient.market efficiency, central bank communication, news shock, tickby-tick Euribor futures data, event-study analysis.

Is ECB Communication Effective?

In its Monthly Bulletin of November 2002, the European Central Bank (ECB) stated that the monthly press conference held by its President represents one of its most important communication channels and that it provides a comprehensive summary of the policy relevant assessment of economic developments. After providing a glossary to translate the qualitative information of the press conferences into an ordered scale, we verify empirically whether and to what extent market expectations react to the information released by the ECB. We found that the public not only understand but also believe the signals sent by the European monetary authority.communication, credibility, ECB, glossary, Repo, Euribor, news approach

The Importance of the Wording of the ECB

This paper analyses the ECB communication, focusing in particular on its transparency dimension. We posit that if the ECB is transparent about its future policy decisions, then we should be able to forecast fairly well its future interest rate setting behaviour. We find that the predicting ability of the European monetary authority's words, is similar to the one implied by market-based measures of monetary policy expectations. Moreover, the ECB's wording provides complementary, rather than substitute, information with respect to economic and monetary variables.ECB communication, transparency, monetary policy forecast, empirical reaction function, Euribor rate curve

Introduction

This volume brings together selected papers presented during the 12th edition of Globalization and Higher Education in Economics and Business Administration (GEBA 2020), the international conference traditionally organized in Iaşi, Romania, almost every October by the Faculty of Economics and Business Administration, within the Alexandru Ioan Cuza University of Iasi, Romania. This high-quality conference, which I had the pleasure and privilege to attend several times, in the last fourteen years, brings together academics and researchers from all over Europe, as well as some participants from other continents.JEL Codes

Talking Less and Moving the Market More: Is this the Recipe for Monetary Policy Effectiveness? Evidence from the ECB and the Fed

This paper examines the impact of monetary policy decisions and central bank’s announcements on the full spectrum of the American and European yield curve over the sample period January 1999 to June 2006. We find that on monetary policy committee meeting days both the ECB and the Fed can move market rates using either the monetary policy or the news shock. However, the Fed is able to move the long-end of the term structure more effectively than the ECB. Moreover, in the period under examination the Fed has been more able to move European interest rates of all maturities than the ECB to move American rates

Romanian Interbank Interest Rates and Central Bank’s Monetary Policy

Interbank rates are affected by the monetary policy of a country and represent a link to other financial and credit markets. In 2007, Romania became a member of the European Union and its central bank, the National Bank of Romania (NBR), joined the European System of Central Banks (ESCB) but not the Eurosystem. This paper analyses the role of the central bank and the use of its instruments concerning interbank rates. The research evaluates the influence of the Romanian Central Bank on interbank rates and shows that the policy rate and bank liquidity are among the main determinants of interbank rate movements. It is also presented that the NBR’s deposit and lending rates can limit the free movements of the interbank rate of interest. This research confirms that interbank interest rates influence bank rates strongly. The methodology used in this research includes cointegration, dynamic econometric measurement and analyses with Granger causality. Our research uses mainly ROBID and ROBOR of different maturities, showing that the influence of the Romanian Central Bank (NBR) on the interbank rate is strong, while the influence of the ECB and Fed is weak.JEL Codes - E430, E520, G17

Lacrymæ rerum

La nouvelle Lacrymæ rerum de Giovanni Verga est la dernière du recueil Vagabondaggio, publié à Florence en 1887. L’édition française de ce recueil, parue en 1976, à Paris, chez Denoël, avait laissé de côté quatre textes : Un processo, La festa dei morti, Il segno d’amore et Lacrymæ rerum. Cette dernière nouvelle est présentée ici dans une traduction effectuée par deux étudiantes de l’École de traduction-interprétation ISTI-Cooremans de l’Université libre de Bruxelles (ULB) et une étudiante de l’Université d’Angers (Université catholique de l’Ouest – UCO), sous la direction du professeur Jean-Pierre Pisetta.La novella Lacrymæ rerum di Giovanni Verga è l’ultima della raccolta Vagabondaggio, pubblicata a Firenze nel 1887. L’edizione francese della raccolta, pubblicata nel 1976 a Parigi, presso la Denoël, non conteneva quattro racconti dell’edizione italiana : Un processo, La festa dei morti, Il segno d’amore e Lacrymæ rerum. Quest’ultimo racconto viene presentato qui in una traduzione fatta da due studentesse della Scuola di traduzione-interpretazione ISTI-Cooremans della Libera Università di Bruxelles (ULB) e da una studentessa dell’Università di Angers (Cattolica Università dell’Ovest – UCO), sotto la guida del professor Jean-Pierre Pisetta

Au-delà la mer

La nouvelle Di là del mare de Giovanni Verga est la dernière du recueil Novelle rusticane, paru à Turin en 1883. La traduction française de ce recueil, publiée en 1976 chez l’éditeur parisien Denoël, ne contenait pas ce texte. Il est présenté ici dans une traduction effectuée par deux étudiantes de l’École de traduction-interprétation ISTI-Cooremans de l’Université libre de Bruxelles (ULB), sous la direction du professeur Jean-Pierre Pisetta.La novella Di là del mare di Giovanni Verga è l’ultima della raccolta Novelle rusticane pubblicata a Torino nel 1883. La traduzione francese della raccolta, pubblicata nel 1976 a Parigi per i tipi di Denoël, non racchiudeva questo racconto. Viene presentato qui in una traduzione fatta da due studentesse della Scuola di traduzione-interpretazione ISTI-Cooremans della Libera Università di Bruxelles (ULB), sotto la guida del professor Jean-Pierre Pisetta

Bank credit lending to small and medium enterprises: was there a credit crunch in Italy?

The present paper investigates the existence of credit rationing in the Italian corporate bank loan market by estimating a demand-supply disequilibrium model for bank credit in the period 2007-2012. From this model, we derive the proportion of credit rationed companies using a panel data set of private Italian SMEs. The results of our study show that, over the period 2007-2012, private Italian SMEs were credit rationed, especially in the years 2007, 2008, 2011 and 2012