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Do financial markets react to Bank of England communication?
Reeves, Rachel (contributor); Sawicki, Michael (contributor) - 2005
The effectiveness of a central bank’s monetary policymaking is determined by the merit of its policy actions and their perceived credibility. Since the 1990s central banks have placed more emphasis on clear communications and transparency as additional levers to help achieve their goals. In...
Persistent link: https://www.econbiz.de/10003384156
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Risk weighting, private lending and macroeconomic dynamics
Donadelli, Michael; Jüppner, Marcus; Prosperi, Lorenzo - 2019
According to current regulation, European banks can apply zero risk weights to sovereign exposures in their balance … sheet, irrespective of the assigned rating. We show that a zero risk weighting of sovereign bonds has implications by … introduced via a penalty function that punishes banks if they deviate from the target capital ratio. We study the zero risk …
Persistent link: https://www.econbiz.de/10012098989
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Inflation anchoring in the euro area
Speck, Christian - 2016
Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation-linked swap (ILS) rates - a...
Persistent link: https://www.econbiz.de/10011456474
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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 … in securities related to troubled classes have a higher credit risk interconnectedness. Overall, our results suggest that … market-based measures of interdependence can serve well as risk monitoring tools in the absence of disaggregated high …
Persistent link: https://www.econbiz.de/10011456511
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What moves markets?
Kerssenfischer, Mark; Schmeling, Maik - 2022
What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...
Persistent link: https://www.econbiz.de/10013202601
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Surprises in scheduled releases : why do they move the bond market?
Hess, Dieter - 2000
It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...
Persistent link: https://www.econbiz.de/10013428356
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A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus - 2001
This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...
Persistent link: https://www.econbiz.de/10013428452
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Fire buys of central bank collateral assets
Roure, Calebe de - 2017
risk-shifting channel is open for these newly eligible securities, banks prefer to pledge them and pay another premium, the … Risk-Shifting premium. With the full fixed-income trading book of 26 German banks, I identify each trade of each bank and … show how funding liquidity impacts premia payment. I quantify the Fire Buy premium to be 15.6 bps; and the Risk …
Persistent link: https://www.econbiz.de/10011587096
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The effect of bank shocks on firm-level and aggregate investment
Amador, João; Nagengast, Arne J. - 2016
We show that credit supply shocks have a strong impact on firm-level as well as aggregate investment by applying the methodology developed by Amiti and Weinstein (2013) to a rich dataset of matched bank-firm loans in the Portuguese economy for the period 2005 to 2013. We argue that their...
Persistent link: https://www.econbiz.de/10011495499
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Assessing macro-financial linkages : a model comparison exercise
Gerke, Rafael; Jonsson, Magnus; Kliem, Martin; Kolasa, … - 2012
The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial...
Persistent link: https://www.econbiz.de/10009509093