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Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union
Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107
This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...
Persistent link: https://www.econbiz.de/10013407190
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Transmission of quantitative easing : the role of central bank reserves
Christensen, Jens H. E.; Krogstrup, Signe - 2015
We argue that the issuance of central bank reserves per se can matter for the effectof central bank large-scale asset purchases-commonly known as quantitative easing- on long-term interest rates. This effect is independent of the assets purchased, and runs through a reserve-induced portfolio...
Persistent link: https://www.econbiz.de/10011298477
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Swiss unconventional monetary policy: lessons for the transmission of quantitative easing
Christensen, Jens H. E.; Krogstrup, Signe - 2014
Persistent link: https://www.econbiz.de/10010400179
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International effects of a compression of euro area yield curves
Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019
In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...
Persistent link: https://www.econbiz.de/10012030981
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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...
Persistent link: https://www.econbiz.de/10011874674
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Does monetary policy impact international market co-movements?
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2020
We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to...
Persistent link: https://www.econbiz.de/10012213939
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Sovereign spreads, central bank collateral frameworks, and periphery premia in the Eurozone
Schuster, Florian - 2023
Eurosystem's move from unconditional to conditional collateral eligibility of sovereign bonds, as part of the 2005 Single List …
Persistent link: https://www.econbiz.de/10014364133
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The effects of the bank of Japan's corporate and government bond purchases on credit spreads
Suganuma, Kenji; Ueno, Yoichi - 2018
Persistent link: https://www.econbiz.de/10013445664
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The narrow channel of quantitative easing : evidence from YCC down under
Lucca, David O.; Wright, Jonathan H. - 2022
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects prices of both government and other bonds via...
Persistent link: https://www.econbiz.de/10013193336
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The Collateral Channel of Monetary Policy : Evidence from China
Fang, Hanming - 2020
Collateral-based monetary policy tools have been used extensively by major central banks. Lack of proper policy … exploit a quasi-natural ex-periment in China, where dual-listed bonds are traded in two mostly segmented markets: the … shift in our study period, China's Central Bank included a class of previously ineligible bonds in the interbank market to …
Persistent link: https://www.econbiz.de/10012840121