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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012222610
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10010471858
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The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
Halberstadt, Arne; Krippner, Leo - 2016
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
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Time-varying volatility, financial intermediation and monetary policy
Eickmeier, Sandra; Metiu, Norbert; Prieto, Esteban - 2016
of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …
Persistent link: https://www.econbiz.de/10011564503
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Währungsunion und deutsche Kapitalmarktzinsen
Heinemann, Friedrich - 1996
Since the negotiation of the Maastricht Treaty in December 1991 expectations on the new European currency could possibly influence European interest rates. The focus of this paper is both on the theoretical and empirical analysis of the link between European Monetary Union (EMU) and German...
Persistent link: https://www.econbiz.de/10011621678
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Transmission of global financial shocks to EMU member states : the role of monetary policy and national factors
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2016
The paper analyses the transmission of global financial shocks to individual member states of the European Monetary Union (EMU), in which monetary policy is delegated to the ECB and financial markets are fully integrated. Using a panel VAR model, we show that the asymmetric effects of global...
Persistent link: https://www.econbiz.de/10011495568
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Fiscal deficits, financial fragility, and the effectiveness of government policies
Kirchner, Markus; Wijnbergen, Sweder van - 2012
Recent macro developments in the euro area have highlighted the interactions between fiscal policy, sovereign debt, and financial fragility. We take a structural macroeconomic model with frictions in the financial intermediation process, in line with recent research, but introduce asset choice...
Persistent link: https://www.econbiz.de/10009625616
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The effects of government bond purchases on leverage constraints of banks and non-financial firms
Kühl, Michael - 2016
This paper investigates how government bond purchases affect leverage-constrained banks and non-financial firms by utilising a stochastic general equilibrium model. My results indicate that government bond purchases not only reduce non-financial firms' borrowing costs, amplified through a...
Persistent link: https://www.econbiz.de/10011541061
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Credit risk interconnectedness : what does the market really know?
Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...
Persistent link: https://www.econbiz.de/10011456511