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57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?
Wolfinger, Julia - 2019
news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …
Persistent link: https://www.econbiz.de/10012892159
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The Frequency of One-Day Abnormal Returns and Price Fluctuations in the Forex
Caporale, Guglielmo Maria - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012837673
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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
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Mixing QE and Interest Rate Policies at the Effective Lower Bound : Micro Evidence from the Euro Area
Bittner, Christian; Rodnyansky, Alexander; Saidi, Farzad; … - 2021
In the presence of negative monetary-policy rates and a zero lower bound on deposit rates, banks that are more exposed to central banks’ asset-purchase programs reduce their lending to the real economy by more than their counterparts. When banks face a lower bound on customer deposit rates, an...
Persistent link: https://www.econbiz.de/10013323089
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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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Interest Rate Spillovers from the United States : Expectations, Term Premia and Macro-Financial Vulnerabilities
Mehrotra, Aaron N. - 2019
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United...
Persistent link: https://www.econbiz.de/10012860570
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Style Consistency and Mutual Fund Returns : The Case of Russia
Bayarmaa, Adiya - 2019
This paper carries out style analysis for Russian mutual funds using monthly data from the National Managers’ Association over the period January 2008-December 2017; specifically, it applies the RSBA method developed by Sharpe (1992) for evaluating the impact of style on returns, and uses the...
Persistent link: https://www.econbiz.de/10012871757
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Has the Euro Affected the Choice of Invoicing Currency?
Ligthart, Jenny E. - 2013
. One of the key findings is that the eurozone countries in trade with Norway have substantially increased their share of … and beyond the determinants of currency invoicing (i.e., inflation rate, inflation volatility, foreign exchange market … size, and product composition). However, the rise in producer currency invoicing by eurozone countries is primarily caused …
Persistent link: https://www.econbiz.de/10013094696
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10013250734
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It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities
Boyarchenko, Nina; Kovner, Anna; Shachar, Or - 2020
We evaluate the impact of the Federal Reserve corporate credit facilities (PMCCF and SMCCF). A third of the positive effect on prices and liquidity occurred on the announcement date. We document immediate pass through into primary markets, particularly for eligible issuers. Improvements continue...
Persistent link: https://www.econbiz.de/10012425585