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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10013153609
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International Capital Flows at the Security Level : Evidence from the ECB's Asset Purchase Programme
Fidora, Michael - 2020
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level …. Based on net transactions of domestic and foreign securities, we observe euro area sectors' capital flows into individual … that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted …
Persistent link: https://www.econbiz.de/10012837755
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Capital Flows and Macroprudential Policies - A Multilateral Assessment of Effectiveness and Externalities
Beirne, John - 2014
This paper assesses the effectiveness and associated externalities that arise when macro-prudential policies (MPPs) are used to manage international capital flows. Using a sample of up to 139 countries, we examine the impact of eight different MPP measures on cross-border bank flows over the...
Persistent link: https://www.econbiz.de/10013049573
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Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Pasricha, Gurnain Kaur - 2015
Using a novel dataset on changes in capital controls and currency-based prudential measures in 17 major emerging market economies (EMEs) over the period 2001-2011, this paper provides new evidence on domestic and multilateral (or spillover) effects of capital controls before and after the global...
Persistent link: https://www.econbiz.de/10013016947
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Does the Euro Make a Difference? Spatio-Temporal Transmission of Global Shocks to Real Effective Exchange Rates in an Infinite VAR
Bussière, Matthieu - 2011
This paper provides evidence on whether the creation of the euro has changed the way global turbulences affect euro … area and other economies. Specifically, it considers the impact of global shocks on the competitiveness of individual euro … over 60 countries' real effective exchange rates, including those of the individual euro area economies, and compares …
Persistent link: https://www.econbiz.de/10013130602
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Fragmentation in the Euro Overnight Unsecured Money Market
Garcia-de-Andoain, Carlos - 2014
This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June …
Persistent link: https://www.econbiz.de/10013040191
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Bank Lending and Monetary Transmission in the Euro Area
De Santis, Roberto A. - 2013
characteristics? Based on a common source of balance sheet data for the four largest economies of the euro area over the period 1999 …
Persistent link: https://www.econbiz.de/10013078975
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Interest Rate Risk and Monetary Policy Normalisation in the Euro Area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2021
In the current low interest rate environment in the euro area there is potential for a sudden increase in interest … rates and heightened interest rate risk (IRR). By using a sample of 81 euro area banks during the period 2014Q4-2018Q1 and a … the European Central Bank (ECB) reveal greater IRR exposure. These findings advance the debate on the impact on euro area …
Persistent link: https://www.econbiz.de/10013314909
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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - 2009
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10011605168