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Bid-to-cover and yield changes around public debt auctions in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2017

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Persistent link: https://www.econbiz.de/10011647972

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three …

Persistent link: https://www.econbiz.de/10012009157

How news affects sectoral stock prices through earnings expectations and risk premia

Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10012316963

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

A new indicator of inflation expectations anchoring

Natoli, Filippo; Sigalotti, Laura - Task Force on Low Inflation (LIFT) - 2017

We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, following Natoli and...

Persistent link: https://www.econbiz.de/10011636301

Chronicle of a death foretold : does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior …

Persistent link: https://www.econbiz.de/10013448706

Fast trading and the virtue of entropy : evidence from the foreign exchange market

Corsetti, Giancarlo; Lafarguette, Romain; Mehl, Arnaud - 2019

fast trading raises entropy, rather than reacting to it. While more entropy in quoted prices means noisier information and …

Persistent link: https://www.econbiz.de/10012037341

US monetary policy spillovers to European banks

Jung, Alexander - 2023

), while changes in uncertainty around the expected Fed policy path and Fed information effects constituted critical additional …

Persistent link: https://www.econbiz.de/10014483005

A Note on Modelling Dynamics in Happiness Estimations

Piper, Alan - Volkswirtschaftliche Fakultät, … - 2013

This short note discusses two alternative ways to model dynamics in happiness regressions. A explained, this may be … modelling dynamics two ways the note discusses are via a lagged dependent variable, and via an AR(1) process. The usefulness and … decisions regarding the choice regarding, and potential necessity of, modelling dynamics. …

Persistent link: https://www.econbiz.de/10011112322

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021

-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real …

Persistent link: https://www.econbiz.de/10012705391