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Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012142125

Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area

Altavilla, Carlo - 2016

We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...

Persistent link: https://www.econbiz.de/10013001152

A Tale of Two Decades : The Ecb's Monetary Policy at 20

Rostagno, Massimo - 2020

inflation almost universally to the upside; and the second – starting well into the post-Lehman period – characterised by … stability with a hard 2% ceiling, functioned as a key shock-absorber in the relatively high-inflation years prior to the crisis … inflation and economic activity …

Persistent link: https://www.econbiz.de/10012844614

Monetary Policy and Bank Profitability in a Low Interest Rate Environment

Altavilla, Carlo - 2017

We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical identification, the analysis focuses on the euro area, thereby exploiting substantial bank and country heterogeneity within a monetary union where the central bank has implemented a...

Persistent link: https://www.econbiz.de/10012945753

Combining Negative Rates, Forward Guidance and Asset Purchases : Identification and Impacts of the ECB's Unconventional Policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

inflation would have been 1.1 p.p. and 0.75 p.p. lower, respectively, and the unemployment rate 1.1 p.p. higher than they …

Persistent link: https://www.econbiz.de/10013225325

Monetary and Macroprudential Policy Complementarities : Evidence from European Credit Registers

Altavilla, Carlo; Laeven, Luc; Peydró, José-Luis - 2021

We document that there are strong complementarities between monetary policy and macroprudential policy in shaping the evolution of bank credit. We use a unique loan-level dataset comprising multiple credit registers from several European countries and different types of loans, including...

Persistent link: https://www.econbiz.de/10013314796

The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty : Evidence from the US and the Euro Area

Altavilla, Carlo; Ciccarelli, Matteo - 2021

This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...

Persistent link: https://www.econbiz.de/10013316324

Inflation Forecasts, Monetary Policy and Unemployment Dynamics : Evidence from the Us and the Euro Area

Ciccarelli, Matteo - 2007

This paper explores the role that inflation forecasts play in the uncertainty surrounding the estimated effects of … alternative monetary rules on unemployment dynamics in the euro area and the US. We use the inflation forecasts of 8 competing … relative to the different inflation models under two rules. The results suggest that model uncertainty can be a serious issue …

Persistent link: https://www.econbiz.de/10012777870