The purpose of this paper is to assess the empirical influence of oil prices on the real effective exchange rate in Romania in a wavelet transform framework. More precisely, we investigate to what extent oil prices impact the real effective exchange rate in an Eastern European transition country, characterised by a low level of retail fuel prices and by an important growth rate of these prices as compared to the other EU countries. For this purpose

The present paper analyzes the relationship between the volume of transactions with equity index futures and the return volatility of their underlying assets. The study addresses the case of five stock markets, members of the Euronext.liffe, namely: Amsterdam,Brussels, Lisbon, London and Paris. The novelty of our paper is the use of the hidden cointegration technique to highlight the asymmetric relationship between derivatives and financial volatility.

This paper is related to the growing academic literature on monetary policy and financial stability. In the first part, we propose a review of the literature on the subject, describing both theoretical and empirical models. In the second part, based on Filardo’s approach, we construct a reduced-form model for the Euro Area, addressing the need to include the financial stability objective into the ECB monetary policy decisions. The purpose of the

This paper proposes an assessment of the monetary policy performed by the European Central Bank (ECB) and, more specifically this paper investigates to what extent the ECB monetary policy decisions were guided by financial instability signals. Our assessment is achieved by estimating a Taylor’s rule, augmented by financial instability aggregate indicators. This estimate enables us, on the one hand, to compare the fitted model predictions against

A series of recent studies analyze the impact of financial crisis on the fiscal soundness in the Euro area countries. Even if their documented results present the transmission mechanisms of the financial instability toward the fiscal sector, a more realistic problem is related to the contribution of the fiscal and budgetary disequilibrium to the financial instability propagation. In this line, we show, based on a simple econometric model that, beside