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ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds
Trebesch, Christoph - 2014
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...
Persistent link: https://www.econbiz.de/10013065438
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ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds
Trebesch, Christoph - 2018
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable “twist” of the Greek yield...
Persistent link: https://www.econbiz.de/10012938010
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Real Effects of Quantitative Easing at the Zero-Lower Bound : Structural VAR-Based Evidence from Japan
Schenkelberg, Heike - 2013
, the effect on inflation is not significantly different from zero. This suggests that while the Japanese Quantitative … Easing experiment was successful in stimulating real activity in the shortrun, it did not lead to any increase in inflation …
Persistent link: https://www.econbiz.de/10013092811
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
de Vries, Casper G. - 2015
consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …
Persistent link: https://www.econbiz.de/10013019404
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria - 2013
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10013095747
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Asset Pricing with Uncertain Betas : A Long-Term Perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10013087728
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Asset Pricing Implications of a New Keynesian Model : A Note
Heer, Burkhard - 2013
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158
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‘Whatever It Takes’ to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects
Afonso, António - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10012943161
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Restrictions on Risk Prices in Dynamic Term Structure Models
Bauer, Michael - 2015
expectations component, consistent with survey evidence on expectations of future interest rates and inflation …
Persistent link: https://www.econbiz.de/10013025968
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Common Trends and Common Cycles among Interest Rates of the G7-Countries
Lindenberg, Nannette - 2013
In this paper we re-investigate the comovements of interest rates in the G7-countries. We propose a structured modus operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration, serial correlation common feature and codependence...
Persistent link: https://www.econbiz.de/10012753235