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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

Banks' trading after the Lehman crisis : the role of unconventional monetary policy

Podlich, Natalia; Schnabel, Isabel; Tischer, Johannes - 2017

liquidity tightened after the Lehman collapse but there is no evidence of fire sales in the German banking sector. Instead, we … observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on … banks' trading behavior by inducing shifts towards eligible securities and reducing pressure on market liquidity. This …

Persistent link: https://www.econbiz.de/10011671299

Monetary policy and endogenous financial crises

Boissay, Frédéric; Collard, Fabrice; Galí, Jordi; … - 2022

We study whether a central bank should deviate from its objective of price stability to promote financial stability. We tackle this question within a textbook New Keynesian model augmented with capital accumulation and microfounded endogenous financial crises. We compare several interest rate...

Persistent link: https://www.econbiz.de/10013259617

Interest-rate pegs, central bank asset purchases and the reversal puzzle

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel; … - 2017

We analyze the macroeconomic implications of a transient interest-rate peg in combination with a QE program in a non-linear medium-scale DSGE model. In this context, we re-examine what has become known as the reversal puzzle (Carlstrom, Fuerst and Paustian, 2015) and provide an analytical...

Persistent link: https://www.econbiz.de/10011671387

Optimal liquidity control and systemic risk in an interbank network with liquidity shocks and regime-dependent interconnectedness

Chotipong Charoensom; Thaisiri Watewai - 2022

Persistent link: https://www.econbiz.de/10013259623

Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis

Quint, Dominic; Tristani, Oreste - 2017

area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response … Gertler and Kiyotaki (2010). We highlight two main results. First, an identified liquidity shock causes a sizable and … in 2008–09. Second, the liquidity injected in the market by the ECB played an important role in attenuating the …

Persistent link: https://www.econbiz.de/10011764878

Fire buys of central bank collateral assets

Roure, Calebe de - 2017

In times of financial distress, central banks provide unlimited liquidity to avoid fire sales. In response, banks raise … investigate how unlimited liquidity provision affects collateral prices. Also, I match banks' trades with their balance sheet and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …

Persistent link: https://www.econbiz.de/10011587096

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Spillovers of U.S. unconventional monetary policy to emerging markets : the role of capital flows

Anaya Longaric, Pablo Andrés; Hachula, Michael; … - 2015 - This version: November 2, 2015

A growing literature stresses the importance of the “global financial cycle”, a common global movement in asset prices and credit conditions, for emerging market economies (EMEs). It is argued that one of the key drivers of this global cycle is monetary policy in the U.S., which is...

Persistent link: https://www.econbiz.de/10011405101

Mitigating financial stress in a bank-financed economy : equity injections into banks or purchases of assets?

Kühl, Michael - 2014

This paper compares the consequences of equity injections into banks with purchases of corporate and government bonds in a financial crisis situation using a New Keynesian model in which non-financial firms predominantly take non-market-based debt from banks instead of issuing securities. Our...

Persistent link: https://www.econbiz.de/10010394640