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Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields : Evidence from a Natural Experiment

De Santis, Roberto A. - 2017

We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector Purchase Programme (PSPP), using granular data on all PSPP-eligible securities at daily frequency. To avoid simultaneity bias in the estimated relationship between yields and purchase...

Persistent link: https://www.econbiz.de/10012956267

Dissecting Long-Term Bund Yields in the Run-Up to the ECB's Public Sector Purchase Programme

Lemke, Wolfgang - 2017

Starting in summer 2014, markets began to build up expectations that the European Central Bank (ECB) would embark on …

Persistent link: https://www.econbiz.de/10012944299

The COVID Pandemic in the Market : Infected, Immune and Cured Bonds

Zaghini, Andrea - 2021

By focusing on the cost conditions at issuance, I find that not only the Covid-19 pandemic effects were different across bonds and firms at different stages, but also that the market composition was significantly affected, collapsing on investment-grade bonds, a segment in which the share of...

Persistent link: https://www.econbiz.de/10013225326

The ECB's Asset Purchase Programme : An Early Assessment

Andrade, Philippe - 2016

This paper analyses the effects of the European Central Bank's expanded asset purchase programme (APP) on yields and on …

Persistent link: https://www.econbiz.de/10012983090

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

Craig, Ben R. - 2020

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....

Persistent link: https://www.econbiz.de/10012838336

Bank Capital Structure and the Credit Channel of Central Bank Asset Purchases

Darracq Paries, Matthieu - 2016

-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi … (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation … approach using granular bank level data. An important feature of our modelling approach is that it captures the heterogeneity …

Persistent link: https://www.econbiz.de/10012988604

How Do Banks Manage Liquidity? Evidence from the ECB's Tiering Experiment

Baldo, Luca; Heider, Florian; Hoffmann, Peter; Sigaux, … - 2022

We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of the ECB’s two-tier system which heterogeneously reduced the cost of additional reserves holdings. We find that the treated banks increase reserve holdings by borrowing on the...

Persistent link: https://www.econbiz.de/10014239530

Population ageing and public pension reforms in a small open economy

Nickel, Christiane; Rother, Philipp; Theophilopoulou, … - 2008

This paper aims to address the issue of public pension reforms under demographic ageing that is likely to occur in Europe over the next 50 years. Three possible scenarios are analysed in a Blanchard OLG framework. These include: i) a decrease both in public pensions and the lump sum labour...

Persistent link: https://www.econbiz.de/10011604909

Interest Rate Effects of Demographic Changes in a New-Keynesian Life-Cycle Framework

Kara, Engin - 2010

This paper develops a small-scale DSGE model which embeds a demographic structure within a monetary policy framework. We extend the tractable, though non-monetary overlapping-generations model of Gertler (1999) and present a small synthesis model which combines the set-up of Gertler with a...

Persistent link: https://www.econbiz.de/10013135617

Aging and Pension Reform : Extending the Retirement Age and Human Capital Formation

Vogel, Edgar - 2012

Projected demographic changes in industrialized countries will reduce the share of the working-age population. Analyses based on standard OLG models predict that these changes will increase the capital-labor ratio. Hence, rates of return to capital decrease and wages increase with adverse...

Persistent link: https://www.econbiz.de/10013100571

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