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Risky sovereign bond holdings by commercial banks in the euro area : do safe assets availability and differences in bank funding costs play a role?
Jochem, Axel; Lecomte, Ernest - 2024
match the return on their euro government bond portfolio with their own funding costs. In addition, prospects for a …
Persistent link: https://www.econbiz.de/10015052425
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
in bond markets. Asset purchase policies are not without side effects, though, as the induced scarcity has an adverse …
Persistent link: https://www.econbiz.de/10011632212
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Dispelling the shadow of fiscal dominance? : fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic
Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021 - This version: June 2021
bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU … fiscal level - has been more crucial for the stabilization of euro sovereign bond markets in the crisis environment of the … rising public debt levels as so far, the stabilization of sovereign bond markets appears to hinge largely on the Eurosystem …
Persistent link: https://www.econbiz.de/10012534642
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The Eurosystem's asset purchase programmes, securities lending and Bund specialness
Baltzer, Markus; Schlepper, Kathi; Speck, Christian - 2022
The Eurosystem's asset purchase programmes reduced the free float of German Bunds. Market participants feared impaired market functioning in the Bund market and monetary policymakers unintended consequences for monetary policy transmission. We study the intended and unintended consequences of...
Persistent link: https://www.econbiz.de/10013411244
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
sovereign CDSs of 10 eurozone countries to test the evidence of long memory behavior during the financial crisis. Our analysis … eurozone countries by estimating dynamic conditional correlations. -- Credit default swaps ; long memory ; sovereign risk … ; eurozone economies ; FIGARCH ; dynamic conditional correlation …
Persistent link: https://www.econbiz.de/10009731982
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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 (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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Monetary and macroprudential policy in an estimated DSGE model of the euro area
Quint, Dominic; Rabanal, Pau - 2014
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a...
Persistent link: https://www.econbiz.de/10010258716
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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