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How Much Fiscal Backing Must the ECB Have?: The Euro Area Is Not the Philippines
Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
The ECB has accepted increasing amounts of rubbish collateral since the crisis started leading to exposure to serious private sector credit risk (i.e. default risk) on its collateralised lending and reverse operations ("repo"). This has led some commentators to argue that the ECB needs "fiscal...
Persistent link: https://www.econbiz.de/10008535997
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Driven by the Markets?: ECB Sovereign Bond Purchases and the Securities Markets Programme
Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
After the dramatic rescue package for the euro area, the governing council of the European Central Bank decided to … assets as collateral and by outright purchases in the central bank balance sheet artificially keeps the asset prices up and …
Persistent link: https://www.econbiz.de/10008492948
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Effects of Global Liquidity on Commodity and Food Prices
Belke, Ansgar; Bordon, Ingo G.; Volz, Ulrich - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support...
Persistent link: https://www.econbiz.de/10010538693
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Does Government Ideology Matter in Monetary Policy?: A Panel Data Analysis for OECD Countries
Belke, Ansgar; Potrafke, Niklas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
time-variant index of central bank independence with government ideology. The results show that leftist governments have … somewhat lower short-term nominal interest rates than rightwing governments when central bank independence is low. In contrast …, short-term nominal interest rates are higher under leftist governments when central bank independence is high. The effect is …
Persistent link: https://www.econbiz.de/10009395418
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Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound: Evidence for the ECB and the Fed
Belke, Ansgar; Klose, Jens - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
We propose an alternative way of estimating Taylor reaction functions if the zero-lowerbound on nominal interest rates is binding. This approach relies on tackling the real rather than the nominal interest rate. So if the nominal rate is (close to) zero central banks can influence the inflation...
Persistent link: https://www.econbiz.de/10010556953
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(How) Do the ECB and the Fed React to Financial Market Uncertainty?: The Taylor Rule in Times of Crisis
Belke, Ansgar; Klose, Jens - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We assess differences that emerge in Taylor rule estimations for the Fed and the ECB before and after the start of the subprime crisis. For this purpose, we apply an explicit estimate of the equilibrium real interest rate and of potential output in order to account for variations within these...
Persistent link: https://www.econbiz.de/10008636403
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Financial Crisis, Global Liquidity and Monetary Exit Strategies
Belke, Ansgar - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We develop a roadmap of how the ECB should further reduce the volume of money (money supply) and roll back credit easing in order to prevent inflation. The exits should be step-by-step rather than one-off. Communicating about the exit strategy must be an integral part of the exit strategy. Price...
Persistent link: https://www.econbiz.de/10008535998
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel; Duca, Marco Lo; Straub, Roland - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US...
Persistent link: https://www.econbiz.de/10010662984
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Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread: A Stochastic Volatility Modelling Approach
Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …
Persistent link: https://www.econbiz.de/10008557208
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Macroeconomic Uncertainty and Bank Lending: The Case of Ukraine
Talavera, Oleksandr; Tsapin, Andriy; Zholud, Oleksandr - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
Our study investigates the link between bank lending behavior and macroeconomic uncertainty. We develop a dynamic model … of a bank's value maximization that results in a negative relationship between loan to capital ratio and macroeconomic … in uncertainty is not uniform and depends on bank-specific characteristics. …
Persistent link: https://www.econbiz.de/10005068643