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A structural investigation of quantitative easing

Böhl, Gregor; Goy, Gavin; Strobel, Felix - 2021

Did the Federal Reserve's Quantitative Easing (QE) in the aftermath of the financial crisis have macroeconomic effects? To answer this question, we estimate a large-scale DSGE model over the sample from 1998 until 2020, including data of the Fed's balance sheet. We allow for QE to affect the...

Persistent link: https://www.econbiz.de/10012426411

Liquidity in the German corporate bond market : has the CSPP made a difference?

Boneva, Lena; Islami, Mevlud; Schlepper, Kathi - 2021

Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market … Bundesbank's detailed CSPP purchase records with a range of liquidity indicators for both purchased and nonpurchased bonds. We … find that while the flow of purchases supported secondary market liquidity, liquidity conditions deteriorated in the long …

Persistent link: https://www.econbiz.de/10012489578

Optimal liquidity control and systemic risk in an interbank network with liquidity shocks and regime-dependent interconnectedness

Chotipong Charoensom; Thaisiri Watewai - 2022

Persistent link: https://www.econbiz.de/10013259623

The impact of U.S. monetary policy on capital flows to emerging market economies

Rocha, Katia; Maka, Alexis - 2022

This paper examines the potential impact of US monetary policy normalization on portfolio capital flows to Emerging Markets Economies (EME) explicitly taking into account the unconventional US monetary policy. We build an econometric model of the drivers of capital flows to EMEs and the results...

Persistent link: https://www.econbiz.de/10014429279

Fiscal and Monetary policies in an agent-based model

Pongpitch Amatyakul; Nutnicha Theppornpitak - 2022

Persistent link: https://www.econbiz.de/10013262823

Financial shocks and inflation dynamics

Abbate, Angela; Eickmeier, Sandra; Prieto, Esteban - 2016

We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a vector autoregressive model to US data and identify financial shocks through sign restrictions. Our main finding is that...

Persistent link: https://www.econbiz.de/10011546785

Monetary policy and the current account : theory and evidence

Hjortsoe, Ida; Weale, Martin; Wieladek, Tomasz - 2016

Does the current account improve or deteriorate following a monetary policy expansion? We examine this issue theoretically and empirically. We show that a standard open economy DSGE model predicts that the current account response to a monetary policy shock depends on the degree of economic...

Persistent link: https://www.econbiz.de/10011436615

Information effects of euro area monetary policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

Persistent link: https://www.econbiz.de/10011972952

Monetary-fiscal interaction and quantitative easing

Hollmayr, Josef; Kühl, Michael - 2019

This paper analyzes the monetary-fiscal interaction if the central bank conducts quantitative easing. Although asset purchases have similar effects on the real economy under monetary and fiscal dominance, wealth effects yield a qualitatively different response on the rate of inflation. Our...

Persistent link: https://www.econbiz.de/10011955624

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553