Olivier Vergote

European Central Bank (ECB)

Economist

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

9

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Scholarly Papers (9)

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1.

How to Match Trades and Quotes for NYSE Stocks?

Number of pages: 21 Posted: 29 Sep 2005
Olivier Vergote
European Central Bank (ECB)
Downloads 506 (77,011)
Citation 9

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TAQ, Market Microstructure, Trade and Quote Reporting Lags, Trade

2.

The Distribution of Excess Liquidity in the Euro Area

ECB Occasional Paper No. 2017/200
Number of pages: 47 Posted: 17 Nov 2017
Luca Baldo, Benoît Hallinger, Caspar Helmus, Niko Herrala, Débora Martins, Felix Mohing, Filippos Petroulakis, Marc Resinek, Olivier Vergote, Benoît Usciati and Yizhou Wang
Bank of Italy, Banque de France, Deutsche Bundesbank, European Central Bank (ECB), Bank of Portugal, Deutsche Bundesbank, Bank of Greece - Economic Research Department, Independent, European Central Bank (ECB), Banque de France and Chinese Academy of Social Sciences (CASS)
Downloads 147 (268,550)
Citation 9

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Excess Liquidity, Financial Structure, Asset Purchase Programme, Bank Characteristics, Regulatory Changes

3.

A High Frequency Assessment of the ECB Securities Markets Programme

Downloads 126 (302,221)
Citation 36

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 124 (307,125)
Citation 1

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unconventional monetary policy; euro area crisis; SMP; component models; high frequency data

A High Frequency Assessment of the ECB Securities Markets Programme

CEPR Discussion Paper No. DP9778
Number of pages: 29 Posted: 10 Dec 2013
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (881,389)
Citation 16
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A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243
Posted: 25 May 2018
Olivier Vergote, Eric Ghysels, Julien Idier and Simone Manganelli
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche and European Central Bank (ECB)

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4.

Main Drivers of the ECB Financial Accounts and ECB Financial Strength Over the First 11 Years

ECB Occasional Paper No. 111
Number of pages: 46 Posted: 17 May 2010
Olivier Vergote, Werner Studener, Ioannis Efthymiadis and Niall Merriman
European Central Bank (ECB), European Central Bank (ECB), European Central Bank and European Central Bank
Downloads 87 (387,019)

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central banking, central bank balance sheet, financial accounts, financial strength

5.

Interest Rate Expectations and Uncertainty During ECB Governing Council Days: Evidence From Intraday Implied Densities of 3-Month EURIBOR

ECB Working Paper No. 1391
Number of pages: 40 Posted: 05 Nov 2011
Olivier Vergote and Josep Maria Puigvert Gutierrez
European Central Bank (ECB) and European Central Bank
Downloads 47 (527,004)
Citation 5

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risk-neutral probability density functions, option-implied densities, interest rate expecta-tions, central bank communication, intraday analysis, announcement effects, tick data

6.

Credit Risk Spillover between Financials and Sovereigns in the Euro Area During 2007-2015

ECB Working Paper No. 1898
Number of pages: 52 Posted: 11 May 2016
Olivier Vergote
European Central Bank (ECB)
Downloads 46 (531,523)

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bank-sovereign nexus, credit risk, spillover, contagion, feedback loops, Granger causality

7.

Who Takes the Ecb's Targeted Funding?

ECB Working Paper No. 20202439
Number of pages: 48 Posted: 07 Jul 2020
Olivier Vergote and Tomohiro Sugo
European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 45 (536,161)
Citation 1

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dynamic tobit panel, funding for lending, monetary policy operations, take-up behaviour, targeted longer-term refinancing operations

8.

The Transmission Channels of Monetary, Macro- and Microprudential Policies and Their Interrelations

ECB Occasional Paper No. 191
Posted: 13 Jun 2017
Andreas Beyer, Giulio Nicoletti, Niki Papadopoulou, Patrick Papsdorf, Gerhard Rünstler, Claudia Schwarz, João Sousa and Olivier Vergote
European Central Bank (ECB), European Central Bank, Central Bank of Cyprus, European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)

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Central bank policies, non-standard measures, banking, financial regulation, DSGE models

9.

The Use of the Eurosystem's Monetary Policy Instruments and Operational Framework Since 2012

ECB Occasional Paper No. 188
Posted: 13 Jun 2017
Danielle Kedan, Judith Kilp, Evi Koch, Louisa König, Rolf Pauli, Dion Reijnders, Marc Resinek, Martin Treinies and Olivier Vergote
Independent, Independent, Independent, Independent, Independent, Independent, Independent, Independent and European Central Bank (ECB)

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monetary policy implementation, xentral bank operational framework, central bank liquidity management, non-standard monetary policy measures