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Revisiting Thailand's monetary policy model for an integrated policy analysis

Pongpitch Amatyakul; Apaitan, Tosapol; Savaphol … - 2021

Persistent link: https://www.econbiz.de/10012655443

COVID-19 and the fragmentation of the European interbank market

Pala, Melissa - 2024

This paper provides evidence of a highly fragmented European interbank market that is tightened during the COVID-19 pandemic, when the interbank market was under stress. Using a unique dataset of unsecured, overnight interbank loans at the transactional level allows me to apply advanced panel...

Persistent link: https://www.econbiz.de/10014481123

The effects of government bond purchases on leverage constraints of banks and non-financial firms

Kühl, Michael - 2016

economy in which loans priced at par dominate in banks' balance sheets - as a reflection of the euro area's structure - the … non-financial sector plays an essential role in transmitting the impulses of government bond purchases to the real economy. …

Persistent link: https://www.econbiz.de/10011541061

Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus

Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012197879

Estimating the effects of the Eurosystem's asset purchase programme at the country level

Mandler, Martin; Scharnagl, Michael - 2020

We assess the macroeconomic effects of the Eurosystem's asset purchases on the four largest euro area economies using simulation exercises that combine unconventional monetary policy shocks with a fixed policy rate for the duration of the purchase programme. We identify unconventional monetary...

Persistent link: https://www.econbiz.de/10012222564

Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?

Scharnagl, Michael; Stapf, Jelena - 2014

We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...

Persistent link: https://www.econbiz.de/10010415789

The impact of the European Monetary Union on inflation persistence in the euro area

Meller, Barbara; Nautz, Dieter - 2009

This paper uses the European Monetary Union (EMU) as a natural experiment to investigate whether more effective monetary policy reduces the persistence of inflation. Taking into account the fractional integration of inflation, we confirm that inflation dynamics differed considerably across Euro...

Persistent link: https://www.econbiz.de/10003875991

Macroprudential policy and the sovereign-bank nexus in the euro area

Hristov, Nikolay; Hülsewig, Oliver; Kolb, Benedikt - 2021

We explore how changes in capital-based macroprudential regulation affect theexposure of national banking sectors to domestic government debt in the euro area,thus strengthening or weakening the sovereign-bank nexus. To do so, we construct ameasure of macroprudential policy based on...

Persistent link: https://www.econbiz.de/10012623677

Negative monetary policy rates and systemic banks' risk-taking : evidence from the euro area securities register

Bubeck, Johannes; Maddaloni, Angela; Peydró, José-Luis - 2020

We show that negative monetary policy rates induce systemic banks to reach-for-yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more...

Persistent link: https://www.econbiz.de/10012250648

The Brexit vote, productivity growth and macroeconomic adjustments in the United Kingdom

Broadbent, Ben; Di Pace, Federico; Drechsel, Thomas; … - 2019

The UK economy has experienced significant macroeconomic adjustments following the 2016 referendum on its withdrawal … from the European Union. This paper develops and estimates a small open economy model with tradable and non … the model economy to such news are consistent with key patterns in UK data. While overall economic growth slows, an …

Persistent link: https://www.econbiz.de/10012055479