European Central Bank

Macro-at-Risk in the euro area Expert Group on Macro-at-Risk Time-Series Workstream

08/06/2026 European Central Bank Central banks

This paper introduces reduced-form macroeconometric tools, emphasising quantile regression models, to identify key risk drivers for the euro area economy and assess risks around the baseline ECB/Eurosystem staff macroeconomic projections for the euro area inflation and growth. The analysis uses a large number of risk factors, going beyond the usual financial factors, employing a sequential selection approach with robustness checks.

Financial frictions across the production network and the transmission of monetary policy

08/06/2026 European Central Bank Central banks

We show that monetary policy transmission is shaped not only by a sector’s own financial frictions but also by those prevailing in the broader production network. The latter, indirect frictions amplify the output and price effects of monetary policy and empirically dominate the direct ones. The amplification results from a downstream demand channel, as customers respond to tighter policy by purchasing fewer inputs. This is partly offset by an upstream cost channel, reflecting that suppliers raise prices to protect margins when financing costs rise.

Capturing inflation expectations (de-)anchoring and what survey-based metrics are telling us

08/06/2026 European Central Bank Central banks

This box assesses the anchoring of longer-term inflation expectations following the recent energy price shock using level, higher-moment and shock-sensitivity measures from surveys of consumers, firms and professional forecasters. A holistic approach reflecting the structurally different expectation patterns, uncertainty levels and biases of these different agents yields three main findings.

The ECB-BIG index: tracking credit conditions in the euro area

08/06/2026 European Central Bank Central banks

This box introduces the European Central Bank Broad Intermediation Gauge (ECB-BIG) index, a new indicator designed to provide a timely assessment of intermediation conditions in the euro area. The ECB-BIG index summarises information from a large set of variables covering bank and non-bank credit conditions, and complements indicators of more narrowly defined financial conditions. It also provides insights into the transmission of monetary policy to the real economy by measuring the impact of credit shocks on investment.

Assessing the scope for compensatory fiscal measures in response to the recent energy shock

08/06/2026 European Central Bank Central banks

This box assesses the scope for euro area governments to adopt compensatory fiscal measures against the backdrop of the recent energy shock. It examines the available fiscal space, reviews the discretionary fiscal support provided so far, and assesses whether the current inflation environment has generated additional revenues that could partially finance current and future measures.

The cost of not knowing: how uncertainty weighs on the euro area economy

08/05/2026 European Central Bank Central banks

Economic uncertainty – the extent to which households, firms, investors and policymakers find it difficult to assess the economic outlook – has increased markedly in recent years with successive geopolitical and trade policy shocks. This article reviews recent developments in various proxies for uncertainty and shows that metrics capturing geopolitical and trade policy uncertainty have remained persistently elevated. The adverse impact of uncertainty shocks on business investment is typically larger and more persistent than the effect on private consumption.

Forecasting the euro area job vacancy rate with earnings calls data

08/05/2026 European Central Bank Central banks

We analyse whether textual information extracted from firms’ earnings calls can improve forecasts of the euro area job vacancy rate. Using transcripts from euro area headquartered firms, we construct a monthly indicator of labour demand based on keywords related to labour market pressures and include it into a mixed frequency Bayesian VAR alongside standard hard and soft indicators. A pseudo–real-time evaluation shows that earnings calls provide timely and valuable signals for tracking vacancy dynamics.

MuSE: a multiple macro-financial scenario simulation engine for stress testing

08/05/2026 European Central Bank Central banks

We design an econometric framework to simulate multiple adverse macro-financial scenarios that can be used in top-down stress tests. First, we create a financial stress index informed by shocks generated via a non-parametric copula estimated on a large dataset of daily financial indicators. Second, we simulate the joint dynamics of macroeconomic indicators conditional on the copula-based financial shocks in a large multi-country Bayesian VAR model.

Forecasting the euro area job vacancy rate with earnings calls data

08/05/2026 European Central Bank Central banks

We analyse whether textual information extracted from firms’ earnings calls can improve forecasts of the euro area job vacancy rate. Using transcripts from euro area headquartered firms, we construct a monthly indicator of labour demand based on keywords related to labour market pressures and include it into a mixed frequency Bayesian VAR alongside standard hard and soft indicators. A pseudo–real-time evaluation shows that earnings calls provide timely and valuable signals for tracking vacancy dynamics.

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