Nuno Cassola

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 15,216

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2,526

CITATIONS
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Top 4,227

in Total Papers Citations

127

Scholarly Papers (22)

1.
Downloads 361 ( 66,289)
Citation 11

Monetary Policy and the Stock Market in the Euro Area

ECB Working Paper No. 119
Number of pages: 85 Posted: 14 Jan 2003
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca
Downloads 361 (65,658)
Citation 11

Abstract:

Monetary policy transmission mechanism; price stability; financial stability

2.

Manipulation in Money Markets

Swiss Finance Institute Research Paper No. 29
Number of pages: 42 Posted: 26 Nov 2006
University of Zurich - Department of Economics, European Central Bank (ECB), European Central Bank (ECB) and Banque de France
Downloads 281 (83,076)
Citation 3

Abstract:

Manipulation, Money markets, SWAPS

3.

A Two-Factor Model of the German Term Structure of Interest Rates

ECB Working Paper No. 46
Number of pages: 63 Posted: 12 Apr 2003
Nuno Cassola and Jorge Barros Luis
European Central Bank (ECB) and Montepio Bank
Downloads 248 (97,827)
Citation 4

Abstract:

expectations hypothesis, term premiums, pricing kernels, affine model

4.

A Money Demand System for Euro Area M3

ECB Working Paper No. 39
Number of pages: 48 Posted: 12 Dec 2002
Claus Brand and Nuno Cassola
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 179 (135,552)
Citation 39

Abstract:

Money Demand, Fisher Hypothesis, Term Structure, Structural Cointegrated VAR, Response Profiles

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

ECB Working Paper No. 982
Number of pages: 41 Posted: 23 Dec 2008
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca
Downloads 170 (144,801)
Citation 2

Abstract:

money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional co-integration, co-breaking, fractionally integrated factor vector autoregressive model

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

International Journal of Central Banking, 4, 2008
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca

Abstract:

money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional cointegration, cobreaking, fractionally integrated factor vector autoregressive model

6.

Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data

ECB Working Paper No. 235
Number of pages: 74 Posted: 02 Dec 2003
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca
Downloads 166 (143,291)
Citation 9

Abstract:

Money market microstructure; money market interest rates; liquidity effect; stochastic volatility; fractional integration and cointegration

7.

Liquidity, Information, and the Overnight Rate

ECB Working Paper No. 378; IEER Working Paper No. 186
Number of pages: 38 Posted: 14 Jun 2004
University of Zurich - Department of Economics, European Central Bank (ECB), European Central Bank (ECB) and Banque de France
Downloads 129 (171,868)
Citation 2

Abstract:

Liquidity effect, asymmetric information, monetary policy implementation

8.
Downloads 113 (201,728)
Citation 7

Comovements in Volatility in the Euro Money Market

ECB Working Paper No. 703
Number of pages: 54 Posted: 28 Dec 2006
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca
Downloads 113 (202,612)
Citation 7

Abstract:

Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

Comovements in Volatility in the Euro Money Market

Journal of International Money and Finance, Vol. 29, 2010
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca

Abstract:

Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

9.

Sporadic Manipulation in Money Markets with Central Bank Standing Facilities

ECB Working Paper No. 399
Number of pages: 36 Posted: 13 Dec 2004
University of Zurich - Department of Economics, European Central Bank (ECB), European Central Bank (ECB) and Banque de France
Downloads 109 (201,728)
Citation 2

Abstract:

Money market, corridor system, manipulation

10.

The Euro Overnight Interbank Market and ECB's Liquidity Management Policy During Tranquil and Turbulent Times

ECB Working Paper No. 1247
Number of pages: 61 Posted: 05 Oct 2010
Nuno Cassola and Michael Huetl
European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 99 (204,394)
Citation 2

Abstract:

liquidity management, open market operations, simulation, microstructure

11.

Understanding Chinese Bond Yields and Their Role in Monetary Policy

IMF Working Paper No. 11/225
Number of pages: 43 Posted: 08 Oct 2011
Nathan Porter and Nuno Cassola
affiliation not provided to SSRN and European Central Bank (ECB)
Downloads 77 (226,260)
Citation 2

Abstract:

Bond markets, Bonds, China, Interest rate structures, Monetary policy

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

ECB Working Paper No. 1374
Number of pages: 65 Posted: 25 Aug 2011
Nuno Cassola, Ali Hortacsu and Jakub Kastl
European Central Bank (ECB), University of Chicago - Department of Economics and Stanford University
Downloads 40 (362,813)
Citation 8

Abstract:

Multiunit auctions, primary market, structural estimation, subprime market, liquidity crisis

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

NBER Working Paper No. w15158
Number of pages: 60 Posted: 21 Jul 2009
Nuno Cassola, Ali Hortacsu and Jakub Kastl
European Central Bank (ECB), University of Chicago - Department of Economics and Stanford University
Downloads 27 (417,381)
Citation 8

Abstract:

The Collateral Channel of Open Market Operations

Banque de France Working Paper No. 593
Number of pages: 52 Posted: 25 May 2016 Last Revised: 12 Oct 2016
Nuno Cassola and Francois Koulischer
European Central Bank (ECB) and Banque centrale du Luxembourg
Downloads 46 (342,374)

Abstract:

Collateral, Haircut, Central Bank, Money Market

The Collateral Channel of Open Market Operations

ECB Working Paper No. 1906
Number of pages: 50 Posted: 18 Jun 2016
Nuno Cassola and Francois Koulischer
European Central Bank (ECB) and Banque centrale du Luxembourg
Downloads 17 (473,667)

Abstract:

collateral, haircut, central bank, money market

14.

Optimal Allotment Policy in the Eurosystem's Main Refinancing Operations

ECB Working Paper No. 295
Number of pages: 49 Posted: 10 Feb 2004
University of Zurich - Department of Economics, European Central Bank (ECB), European Central Bank (ECB) and Banque de France
Downloads 60 (281,137)
Citation 3

Abstract:

Euro, monetary policy instruments, operational framework, refinancing operations

15.

Overbidding in Fixed Rate Tenders: The Role of Exposure Risk

Swiss Finance Institute Research Paper No. 10-35
Number of pages: 43 Posted: 25 Aug 2010 Last Revised: 02 Jun 2011
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich - Department of Economics, European Central Bank (ECB) and Banque de France
Downloads 56 (300,078)
Citation 1

Abstract:

Eurosystem; Bank of England, Fixed rate tender, Overbidding, Exposure risk, Existence of equilibrium, Dynamics

16.

The Reserve Fulfilment Path of Euro Area Commercial Banks: Empirical Testing Using Panel Data

ECB Working Paper No. 869
Number of pages: 47 Posted: 26 Feb 2008
Nuno Cassola
European Central Bank (ECB)
Downloads 52 (310,482)

Abstract:

Monetary policy implementation, Reserve requirements, Rate corridor, Liquidity management, Panel data

17.

Euro Money Market Spreads During the 2007-? Financial Crisis

ECB Working Paper No. 1437
Number of pages: 26 Posted: 09 Jul 2012
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca
Downloads 48 (316,002)
Citation 3

Abstract:

Money market interest rates, credit/liquidity risk, fractionally integrated heteroskedastic factor vector autoregressive model

18.

Declining Valuations and Equilibrium Bidding in Central Bank Refinancing Operations

ECB Working Paper No. 668, Swiss Finance Institute Research Paper No. 07-22
Number of pages: 33 Posted: 22 Aug 2006
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich - Department of Economics, European Central Bank (ECB) and Banque de France
Downloads 47 (327,624)
Citation 13

Abstract:

Open market operations, uniform price auction, discriminatory, Eurosystem, discriminatory auction, bid shading, collateral

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

ECB Working Paper No. 793
Number of pages: 33 Posted: 17 Aug 2007
University of Zurich - Department of Economics, European Central Bank (ECB) and Università di Milano Bicocca
Downloads 42 (355,753)
Citation 1

Abstract:

Repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Journal of Financial Transformation, Vol. 19, pp. 81-90, 2007
Posted: 03 Oct 2006
Università di Milano Bicocca, University of Zurich - Department of Economics and European Central Bank (ECB)

Abstract:

repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

20.

Equilibrium and Inefficiency in Fixed Rate Tenders

ECB Working Paper No. 554
Number of pages: 35 Posted: 30 Nov 2005
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich - Department of Economics, European Central Bank (ECB) and Banque de France
Downloads 41 (333,550)
Citation 3

Abstract:

Fixed rate tenders, rationing, equilibrium, inefficiency

21.

Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations

Banque de France Working Paper No. NER-R 151
Number of pages: 54 Posted: 26 Oct 2010
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich - Department of Economics, European Central Bank (ECB) and Banque de France
Downloads 10 (466,948)
Citation 12

Abstract:

Open market Operations, Uniform Price Auction, Discriminatory Auction, Eurosystem

22.

Euro Money Market Spreads During the 2007-? Financial Crisis

Journal of Empirical Finance, 2012, 19, 548-557.
Posted: 12 May 2010 Last Revised: 09 Jun 2013
Nuno Cassola and Claudio Morana
European Central Bank (ECB) and Università di Milano Bicocca

Abstract:

money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractionally integrated heteroskedastic factor vector autoregressive model