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Implications of negative interest rates for the net interest margin and lending of euro area banks

Klein, Melanie - 2020

interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets …

Persistent link: https://www.econbiz.de/10012179680

Reversal interest rate and macroprudential policy

Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2021

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

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

With a little help from my friends : survey-based derivation of euro area short rate expectations at the effective lower bound

Geiger, Felix; Schupp, Fabian - 2018

The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying effective lower bound. These challenges all weigh heavily when...

Persistent link: https://www.econbiz.de/10011888340

Learning monetary policy strategies at the effective lower bound with sudden surprises

Krane, Spencer David; Melosi, Leonardo; Rottner, Matthias - 2023

strategy to address future ELB episodes. The central bank can offset some of the inflation-induced learning loss by deviating …

Persistent link: https://www.econbiz.de/10014330977

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

On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound

Finck, David; Hoffmann, Mathias; Hürtgen, Patrick - 2023 - February 3, 2023

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when interest rates are not at the ZLB, but also when...

Persistent link: https://www.econbiz.de/10014320485

The optimal conduct of central bank asset purchases

Darracq Pariès, Matthieu; Kühl, Michael - 2017

We analyse the effects of central bank government bond purchases in an estimated DSGE model for the euro area. In the … model, central bank asset purchases are relevant in so far as agency costs distort banks' asset allocation between loans and … inefficient time-variation in the term premia and allow for a credit channel of central bank government bond purchases …

Persistent link: https://www.econbiz.de/10011685100

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 … seemingly puzzling results for the euro area and provide evidence that they are due to central bank information effects. That is …

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

Below the zero lower bound : a shadow-rate term structure model for the euro area

Lemke, Wolfgang; Vladu, Andreea L. - 2016

We propose an arbitrage-free shadow-rate term structure model to analyze the euro-area yield curve from 1999 to mid-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or negative level, while the actual one-month rate cannot fall...

Persistent link: https://www.econbiz.de/10011532627

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