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The Impact of the ECB's Conventional and Unconventional Monetary Policies on Stock Markets

Haitsma, Reinder - 2015

Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999-2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional...

Persistent link: https://www.econbiz.de/10013014193

The Signalling Content of Asset Prices for Inflation : Implications for Quantitative Easing

de Haan, Leo - 2016

We investigate the information content of financial variables as signalling devices of two abnormal inflationary regimes: (1) very low inflation or deflation, and (2) high inflation. Specifically, we determine the information content of equity and house prices, private credit volumes, and...

Persistent link: https://www.econbiz.de/10012986084

Quantitative Easing and Exuberance in Stock Markets : Evidence from the Euro Area

Lamoen, Ryan - 2019

In response to a prolonged period of low inflation, the European Central Bank (ECB) introduced Quantitative Easing (QE) in an attempt to steer inflation to its target of below, but close to, 2% in the medium term. This paper examines whether QE contributes to exuberance in euro area stock...

Persistent link: https://www.econbiz.de/10012858241

Optimal Quantitative Easing in a Monetary Union

Kabaca, Serdar; Maas, Renske; Mavromatis, Kostas; … - 2020

This paper explores the optimal allocation of government bond purchases within a monetary union, using a two-region DSGE model, where regions are asymmetric with respect to economic size and portfolio characteristics: the extent of substitutability between assets of different maturity and...

Persistent link: https://www.econbiz.de/10014090514

The Effect of the Zero Lower Bound, Forward Guidance and Unconventional Monetary Policy on Interest Rate Sensitivity to Economic News in Sweden

Moessner, Richhild; de Haan, Jakob; Jansen, David-Jan - 2014

We study whether the sensitivity of Swedish interest rates to economic news was affected by the zero lower bound and the Riksbank's monetary policies. Our results suggest that the sensitivity of interest rate swaps to Swedish macroeconomic news was reduced at the effective zero lower bound at...

Persistent link: https://www.econbiz.de/10014149305

Liquidity Stress-Tester : Do Basel III and Unconventional Monetary Policy Work?

van den End, Jan Willem - 2011

This paper presents a macro stress-testing model for liquidity risks of banks, incorporating the proposed Basel III … liquidity regulation, unconventional monetary policy and credit supply effects. First and second round (feedback) effects of … shocks are simulated by a Monte Carlo approach. Banks react according to the Basel III standards, endogenising liquidity risk …

Persistent link: https://www.econbiz.de/10013119113

What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies

Olijslagers, Stan - 2019

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

Persistent link: https://www.econbiz.de/10012888949

Does the Clarity of Inflation Reports Affect Volatility in Financial Markets?

Bulíř, Aleš - 2014

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure clarity of reports by the Czech National Bank, the European Central Bank, the Bank of England, and Sveriges Riksbank using the Flesch-Kincaid grade level, a standard readability...

Persistent link: https://www.econbiz.de/10013046714

Deflation Risk in the Euro Area and Central Bank Credibility

Galati, Gabriele - 2016

This paper investigates how the perceived risk that the euro area will experience deflation has evolved over time, and what this risk implies for the credibility of the ECB. We use a novel data set on market participants' perceptions of short- to long-term deflation risk implied by year-on-year...

Persistent link: https://www.econbiz.de/10012995366

Quantitative Easing and Preferred Habitat Investors in the Euro Area Bond Market

Adriaan Boermans, Martijn - 2018

Quantitative easing (QE) aims to lower long term interest rates and stimulate economic growth via the portfolio rebalancing channel. One of the assumptions for QE to work is that there are investors with strong preferences to hold long term bonds, i.e. so called preferred habitat investors. This...

Persistent link: https://www.econbiz.de/10012925877

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