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MRO bidding in the presence of LTROs: an empirical analysis of the pre-crisis period
Vogel, Edgar - 2014
Using individual data from the Eurosystem’s liquidity providing tenders for the pre-crisis period we investigate banks’ joint bidding behaviour in Main Refinancing Operation (MRO) and Longer Term Refinancing Operations (LTRO). We test whether banks bid at lower rates in MROs before the LTRO...
Persistent link: https://www.econbiz.de/10011605798
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The Minimum Liquidity Deficit and the Maturity Structure of Central Banks' Open Market Operations : Lessons from the Financial Crisis
Eisenschmidt, Jens - 2011
This paper studies the relationship between the size of the banking sector's refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is found that marginal rates at central bank auctions may...
Persistent link: https://www.econbiz.de/10013132236
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The Financial and Macroeconomic Effects of OMT Announcements
Altavilla, Carlo - 2014
This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while...
Persistent link: https://www.econbiz.de/10013051170
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The Collateral Channel of Open Market Operations
Cassola, Nuno - 2016
We build a model of collateral choice by banks that allows to recover the opportunity cost of collateral use and the access of banks to the interbank market. We estimate the model using country level data on assets pledged to the European Central Bank from 2009 to 2011. The model can be used to...
Persistent link: https://www.econbiz.de/10012988855
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Assessing Asset Purchases within the ECB’s Securities Markets Programme
Eser, Fabian - 2013
We assess the yield impact of asset purchases within the ECB's Securities Markets Programme in five euro area sovereign bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined purchases and control covariates. In addition to...
Persistent link: https://www.econbiz.de/10013077031
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The (Unobservable) Value of Central Bank's Refinancing Operations
Albertazzi, Ugo; Burlon, Lorenzo; Pavanini, Nicola; … - 2021
We quantify the impact that central bank refinancing operations and funding facilities had at reducing the banking sector’s intrinsic fragility in the euro area in 2014-2019. We do so by constructing, estimating and calibrating a micro-structural model of imperfect competition in the banking...
Persistent link: https://www.econbiz.de/10013315230
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An international analysis of earnings, stock prices and bond yields
Durré, Alain; Giot, Pierre - 2005
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...
Persistent link: https://www.econbiz.de/10011604561
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Is Quantity Theory Still Alive?
Teles, Pedro - 2013
countries with low inflation, the raw relationship between average inflation and the growth rate of money is tenuous at best … elasticities implied by theories of Baumol-Tobin and Miller-Orr. Finally, the sample after 1990 shows considerably less inflation … variability, worsening the fit of a one-for-one relationship between money growth and inflation, and generates a fairly low …
Persistent link: https://www.econbiz.de/10013073658
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Commodity Prices, Money and Inflation
Browne, Frank - 2007
equilibrium values having explanatory power for subsequent consumer price inflation …
Persistent link: https://www.econbiz.de/10012777411