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Macroeconomic Adjustment to Monetary Union

Fagan, Gabriel - 2008

The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was associated with notable cross-country differences in the behaviour of key macroeconomic aggregates. Compared to the low interest rate countries, former high interest rate...

Persistent link: https://www.econbiz.de/10012770251

Euro Area Market Reactions to the Monetary Developments Press Release

Coffinet, Jerome; Gouteron, Sylvain - 2021

Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the "news" or "surprise" in the released data for annual M3 growth and the move in the interest...

Persistent link: https://www.econbiz.de/10013316901

Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound

Baumeister, Christiane - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure' spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10013137091

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

Persistent link: https://www.econbiz.de/10013106056

Why the effective price for money exceeds the policy rate in the ECB tenders?

Välimäki, Tuomas - 2008

liquidity was isolated from their interest rate expectations in March 2004. The paper offers two potential explanations for the … unexpected behavior. First, following the increased precision in the ECB’s liquidity provision after the end-of- period fine … tuning operations were added to the regularly applied tools, even a small bias in the liquidity supply could have resulted in …

Persistent link: https://www.econbiz.de/10011605027

The Yield Curve and Macroeconomic Dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - 2021

We show that microfounded DSGE models with nominal rigidities can be successful in replicating features of bond yield data which have previously been considered puzzling in general equilibrium frameworks. Consistent with empirical evidence, we obtain average holding period returns that are...

Persistent link: https://www.econbiz.de/10013316763

Unconventional monetary policy and the great recession - Estimating the impact of a compression in the yield spread at the zero lower bound

Baumeister, Christiane; Benati, Luca - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure’ spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10011605304

The link between interest rates and exchange rates: do contractionary depreciations make a difference?

Sánchez, Marcelo - 2005

The link between exchange rates and interest rates features prominently in the theoretical and empirical literature on small open economies. This paper revisits this relationship using a simple model that incorporates the role of exchange rate pass-through into domestic prices and distinguishes...

Persistent link: https://www.econbiz.de/10011604594

Convergence and anchoring of yield curves in the euro area

Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - 2007

We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU) has led to substantial convergence in euro area sovereign...

Persistent link: https://www.econbiz.de/10011604863

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10011604963