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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 … non-financial sector plays an essential role in transmitting the impulses of government bond purchases to the real economy. …
Persistent link: https://www.econbiz.de/10011541061
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Estimating the effects of the Eurosystem's asset purchase programme at the country level
Mandler, Martin; Scharnagl, Michael - 2020
We assess the macroeconomic effects of the Eurosystem's asset purchases on the four largest euro area economies using simulation exercises that combine unconventional monetary policy shocks with a fixed policy rate for the duration of the purchase programme. We identify unconventional monetary...
Persistent link: https://www.econbiz.de/10012222564
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Below the zero lower bound : a shadow-rate term structure model for the euro area
Lemke, Wolfgang; Vladu, Andreea L. - 2016
-2015, when bond yields turned negative at various maturities. In the model the 'shadow rate' can reach any positive or …
Persistent link: https://www.econbiz.de/10011532627
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Financial conditions, macroeconomic factors and (un)expected bond excess returns
Fricke, Christoph; Menkhoff, Lukas - 2014
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 … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …
Persistent link: https://www.econbiz.de/10010436625
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Should unconventional monetary policies become conventional?
Quint, Dominic; Rabanal, Pau - 2017
The large recession that followed the Global Financial Crisis of 2008-09 triggered unprecedented monetary policy easing around the world. Most central banks in advanced economies deployed new instruments to affect credit conditions and to provide liquidity on a large scale after short-term...
Persistent link: https://www.econbiz.de/10011722664
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where …
Persistent link: https://www.econbiz.de/10012313784
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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess …
Persistent link: https://www.econbiz.de/10014330976
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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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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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Pricing the Bund term structure with linear regressions : without an observable short rate
Speck, Christian - 2023
Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy …
Persistent link: https://www.econbiz.de/10014320252