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Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus
Hristov, Nikolay - 2020
We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...
Persistent link: https://www.econbiz.de/10012838235
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Coherence of Output Gaps in the Euro Area : The Impact of the COVID-19 Shock
de Haan, Jakob; Jacobs, Jan P. A. M.; Zijm, Renske - 2022
Using the measures proposed by Mink et al. (2012), we reexamine the coherence of business cycles in the euro area using a long sample period. We also analyze the impact of the COVID-19 pandemic on business cycle coherence and examine whether our measures for business cycle coherence indicate a...
Persistent link: https://www.econbiz.de/10013293282
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The Financial Accelerator in the Euro Area : New Evidence Using a Mixture VAR Model
Bennani, Hamza; Neuenkirch, Matthias - 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy transmission can be described as mixture of two states...
Persistent link: https://www.econbiz.de/10013314851
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012867012
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The Euro Area Periphery Sovereigns' Fiscal Positions and Unconventional Monetary Policy
Hülsewig, Oliver - 2020
shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing …
Persistent link: https://www.econbiz.de/10012843420
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The Euro Crisis and Economic Growth : A Novel Counterfactual Approach
Terzi, Alessio - 2019
warranted. To make this claim, this paper uses a Propensity Score Matching Model to produce counterfactuals for the Eurozone … more in the Eurozone periphery than in the standard counterfactual scenario. These results are not dictated by any specific … Eurozone's specificity, which is instead to be traced back to a sharper-than-expected contraction in investment and fiscal …
Persistent link: https://www.econbiz.de/10012866042
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The Trade and FDI Effects of EMU Enlargement
Brouwer, J.; Paap, Richard; Viaene, Jean-Marie - 2021
This paper considers the nature and the distribution of trade and FDI effects of a potential enlargement of the European Monetary Union (EMU) to the ten countries that obtained EU membership in 2004. One-way and two-way error component gravity models are estimated using a dataset of unbalanced...
Persistent link: https://www.econbiz.de/10013316812
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Macroprudential Policy and the Sovereign-Bank Nexus in the Euro Area
Hristov, Nikolay; Hülsewig, Oliver; Kolb, Benedikt - 2021
holdings, in response to the shock. We show that this result can be tied to the theoretical literature and investigate several …
Persistent link: https://www.econbiz.de/10013324211
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Unconventional Monetary Policy in the Euro Area. Impacts on Loans, Employment, and Investment
Afonso, António; Gomes Pereira, Francisco - 2022
Using a difference-in-differences identification strategy on a micro panel at the bank and firm level, we study the transmission effectiveness of ECB’s large-scale asset purchasing programs programs (i.e. APP and PEPP) in the Euro area. Our findings show: first, balance sheet composition of...
Persistent link: https://www.econbiz.de/10013296738
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Euro Area House Prices and Unconventional Monetary Policy Surprises
Hülsewig, Oliver; Rottmann, Horst - 2021
This paper examines the reaction of house prices in a panel of euro area countries to monetary policy surprises over the period 2010-2019. Using Jordà’s (2005) local projection method, we find that real house prices rise in response to expansionary monetary policy shocks that can be related...
Persistent link: https://www.econbiz.de/10013229702