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Estimating the effects of the Eurosystem's asset purchase programme at the country level
Mandler, Martin; Scharnagl, Michael - 2020
inflation, generally, are much weaker. We find substantial cross-country heterogeneity with the largest price level effects in … Spain while output effects were smallest in France and inflation effects were smallest in Italy. …
Persistent link: https://www.econbiz.de/10012222564
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Heterogeneity in euro-area monetary policy transmission : results from a large multi-country BVAR model
Mandler, Martin; Scharnagl, Michael; Volz, Ute - 2016
We study cross-country differences in monetary policy transmission across the large four euro-area countries (France, Germany, Italy and Spain) using a large Bayesian vector autoregressive model with endogenous prior selection. Drawing both on the posterior distributions of the cross-country...
Persistent link: https://www.econbiz.de/10011444752
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What drives the German TARGET balances? : evidence from a BVAR approach
Bettendorf, Timo; Jochem, Axel - 2021
Applying a BVAR model, the present paper first identifies the possible drivers of Germany's TARGET claims. In this context, in terms of potential causes, a distinction is made between a rise in the global risk assessment, tensions within the euro area, and European monetary policy. It becomes...
Persistent link: https://www.econbiz.de/10012510162
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Central bank communication and the perception of monetary policy by financial market experts
Schmidt, Sandra; Nautz, Dieter - 2010
future interest rate, inflation, and output to discover the sources of individual interest rate forecast errors. Based on a …. However, although experts tend to overestimate the impact of inflation on future interest rates, perceptions of monetary … improved communication has reduced disagreement over the ECB's response to expected inflation during the financial crisis …
Persistent link: https://www.econbiz.de/10008796249
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Vector autoregression analysis and the great moderation
Benati, Luca (contributor); Surico, Paolo (contributor) - 2007
. -- Great inflation ; passive policy ; break tests ; vector autoregressions …
Persistent link: https://www.econbiz.de/10003563240
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Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus
Hristov, Nikolay; Hülsewig, Oliver; Scharler, Johann - 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/10012197879
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Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area
Martínez-Hernández, Catalina - 2020 - This version: October 30, 2020
mandate of price stability in the current low-inflation, low-interest-rate scenario. This paper contributes to the existing … anchoring of inflation expectations. I carry out my analysis based on a high-frequency identification and the estimation of a … forward guidance, i.e. forecasters revise their long-run expectations upwards. Consequently, inflation increases, which …
Persistent link: https://www.econbiz.de/10012305860
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(When) does money growth help to predict Euro-area inflation at low frequencies?
Schreiber, Sven - 2013 - this version: June 2013
revisit claims in the literature that money growth is Granger-causal for inflation at low frequencies. Applying frequency …-specific tests in a comprehensive system setup for euro-area data we consider various theoretical predictors of inflation. A general … Granger-causal for low-frequency inflation movements, and all variables affect money growth. We therefore interpret opposite …
Persistent link: https://www.econbiz.de/10009774367
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Distributional consequences of asset price inflation in the euro area
Adam, Klaus; Tzamourani, Panagiota - 2015
We study the distributional consequences of housing price, bond price and equity price increases for Euro Area households using data from the Household Finance and Consumption Survey (HFCS). The capital gains from bond price and equity price increases turn out to be concentrated among relatively...
Persistent link: https://www.econbiz.de/10011316626
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Changes in the euro area interest rate pass-through
Michaelis, Henrike - 2024
This paper uses a time-varying vector autoregressive (VAR) model for the euro area to explore the changes in the interest rate pass-through to bank retail rates following conventional and unconventional monetary policy shocks. The median estimate of the impulse responses shows a considerably...
Persistent link: https://www.econbiz.de/10014559289