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International Spillovers of Quantitative Easing
Kolasa, Marcin; Wesolowski, Grzegorz - 2021
This paper develops a two-country model with asset market segmentation to investigate the effects of quantitative easing implemented by the major central banks on a typical small open economy that follows independent monetary policy. The model is able to replicate the key empirical facts on...
Persistent link: https://www.econbiz.de/10013315413
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A High Frequency Assessment of the ECB Securities Markets Programme
Ghysels, Eric - 2014
Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the...
Persistent link: https://www.econbiz.de/10013059119
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Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe
Claeys, Peter - 2014
The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets. The crisis did not hit all markets in the same way. We measure the strength and direction of linkages between 16 EU sovereign bond markets using a factor-augmented version of the...
Persistent link: https://www.econbiz.de/10013056837
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Sovereign to Corporate Risk Spillovers
Augustin, Patrick - 2016
Using the announcement of the first Greek bailout on April 11, 2010, we quantify significant spillover effects from sovereign to corporate credit risk in Europe. A ten percent increase in sovereign credit risk raises corporate credit risk on average by 1.1 percent after the bailout. These...
Persistent link: https://www.econbiz.de/10013001180
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The Pricing of G7 Sovereign Bond Spreads : The Times, They are A-Changin
D'Agostino, Antonello - 2013
Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high‐frequency proxies for market expectations about macroeconomic fundamentals and allowing for time‐varying...
Persistent link: https://www.econbiz.de/10013086465
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Modeling Euro Area Bond Yields Using a Time-Varying Factor Model
Adam, Tomas - 2017
mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants …
Persistent link: https://www.econbiz.de/10012963728
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The Determinants of Sovereign Bond Yield Spreads in the EMU
Afonso, António - 2015
We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the …
Persistent link: https://www.econbiz.de/10013021991
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On the Inflation Risks Embedded in Sovereign Bond Yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging inflation risks from the perspective of a well diversified...
Persistent link: https://www.econbiz.de/10012830326
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Bid-to-Cover and Yield Changes Around Public Debt Auctions in the Euro Area
Beetsma, Roel M. W. J. - 2017
Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...
Persistent link: https://www.econbiz.de/10012956251
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Level, Slope, Curvature of the Sovereign Yield Curve, and Fiscal Behaviour
Afonso, António - 2010
We study fiscal behaviour and the sovereign yield curve in the U.S. and Germany in the period 1981:I-2009:IV. The … the short-end of the yield curve, associated with the monetary policy reaction, lasting between 6 and 8 quarters, and (ii …) an immediate response of the long-end of the yield curve, lasting 3 years, with an implied elasticity of about 80% for …
Persistent link: https://www.econbiz.de/10013135491