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For the largest 55 German banks, we detect the presence of countercyclical yield seeking in the form of acquisition of …-stressed country Germany. Yield-seeking strategies were predominantly pursued by healthy banks in Germany. This contrasts with the …
Persistent link: https://www.econbiz.de/10012014102
Persistent link: https://www.econbiz.de/10013431587
coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays … to overestimate the number of jumps in yield spreads and puts the coherence of test results at risk. We formalize the …
Persistent link: https://www.econbiz.de/10014343097
Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part. In order to explore these risk premia and innovations,...
Persistent link: https://www.econbiz.de/10010436625
coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays …
Persistent link: https://www.econbiz.de/10012655372
autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data …
Persistent link: https://www.econbiz.de/10011578396
implying time-varying impulse responses of yield components. With short-term rate expectations at or close to the lower bound …
Persistent link: https://www.econbiz.de/10012222610
-varying effective lower bound. These challenges all weigh heavily when estimating a DTSM for the euro area OIS yield curve. Against this …
Persistent link: https://www.econbiz.de/10011888340
Could a monetary policy loosening in a low interest rate environment have unintended recessionary effects? Using a non-linear macroeconomic model fitted to the euro area economy, we show that the effectiveness of monetary policy can decline in negative territory until it reaches a turning point,...
Persistent link: https://www.econbiz.de/10012596371
This paper explores the impact of low (but) positive and negative market interest rates on euro area banks' net interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets, I find a positive impact of the level of the short-term...
Persistent link: https://www.econbiz.de/10012179680