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Inspecting the Mechanism of Quantitative Easing in the Euro Area
Koijen, Ralph S. J. - 2019
Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution...
Persistent link: https://www.econbiz.de/10012480098
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ECB Policies Involving Government Bond Purchases : Impact and Channels
Krishnamurthy, Arvind - 2017
We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds,...
Persistent link: https://www.econbiz.de/10012453728
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Credit Risk in the Euro Area
Gilchrist, Simon - 2014
We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the...
Persistent link: https://www.econbiz.de/10012458623
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Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis
Aizenman, Joshua - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...
Persistent link: https://www.econbiz.de/10012459536
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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V. - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns …
Persistent link: https://www.econbiz.de/10012459623
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano - 2013
eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …
Persistent link: https://www.econbiz.de/10012459921
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Sovereign CDS and Bond Pricing Dynamics in the Euro-area
Palladini, Giorgia - 2011
This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...
Persistent link: https://www.econbiz.de/10012461071
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The Puzzling Behavior of Spreads during Covid
Fourakis, Stelios S.; Karabarbounis, Loukas - National Bureau of Economic Research - 2024
Advanced economies borrowed substantially during the Covid recession to fund their fiscal policy. The Covid recession … experience of Greece, the most extreme manifestation of the puzzling behavior of spreads during Covid. We develop a small open …, and Covid constraints on labor supply and consumption demand. The model is quantitatively consistent with the observed …
Persistent link: https://www.econbiz.de/10014468244
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Granular Instrumental Variables
Gabaix, Xavier - 2020
"sovereign yield shocks" transmit across countries in the Eurozone. Second, we estimate short-term supply and demand multipliers …
Persistent link: https://www.econbiz.de/10012482423
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A Model of Safe Asset Determination
He, Zhiguo - 2016
What makes an asset a "safe asset"? We study a model where two countries each issue sovereign bonds to satisfy investors' safe asset demands. The countries differ in the float of their bonds and their resources/fundamentals available to rollover debts. A sovereign's debt is more likely to be...
Persistent link: https://www.econbiz.de/10012456404