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Extracting market expectations from yield curves augmented by money market interest rates: the case of Japan

Nagano, Teppei; Baba, Naohiko - 2008

This paper attempts to extract market expectations about the Japanese economy and the BOJ’s policy stance from the yen yield curves augmented by money market interest rates, during the period from the end of the quantitative easing policy in March 2006. We use (i) the swap yield curves...

Persistent link: https://www.econbiz.de/10011605026

Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve

Eser, Fabian - 2019

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the “free-float of duration risk” borne by price-sensitive investors. We include...

Persistent link: https://www.econbiz.de/10012866996

Household Risk Management and Actual Mortgage Choice in the Euro Area

Ehrmann, Michael - 2014

-country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for …Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between … exercise to identify how the easing of monetary policy during the financial crisis affected mortgage holders. It shows that the …

Persistent link: https://www.econbiz.de/10013060536

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Ewerhart, Christian; Cassola, Nuno; Morana, Claudio - 2021

This paper contributes to the existing literature on central bank repo auctions. It is based on a structural econometric approach, whereby the primitives of bidding behavior (individual bid schedules and bid-shading components) are directly estimated. With the estimated parameters we calibrate a...

Persistent link: https://www.econbiz.de/10013316900

Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach

Mönch, Emanuel - 2005

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model does not incorporate latent yield curve factors, but instead uses the common components of a large number of macroeconomic variables and the short rate as explanatory...

Persistent link: https://www.econbiz.de/10011604590

Below the Zero Lower Bound : A Shadow-Rate Term Structure Model for the Euro Area

Lemke, Wolfgang - 2017

We propose a shadow-rate term structure model for the euro area yield curve from 1999 to mid-2015, when bond yields had turned negative at various maturities. Yields in the model are constrained by a lower bound, but - as a special feature of our specification - the bound is allowed to change...

Persistent link: https://www.econbiz.de/10012963943

Term Premia Implications of Macroeconomic Regime Changes

Carboni, Giacomo - 2014

Term premia are shown to provide crucial information for discriminating among alternative sources of change in the economy, and namely shifts in the variance of structural shocks and in monetary policy. These sources have been identified as competing explanations for time-varying features of...

Persistent link: https://www.econbiz.de/10013052937

Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News

De Santis, Roberto A. - 2016

Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to...

Persistent link: https://www.econbiz.de/10012984575

Networking the Yield Curve : Implications for Monetary Policy

Dalhaus, Tatjana; Schaumburg, Julia; Sekhposyan, Tatevik - 2021

We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units, and establish the...

Persistent link: https://www.econbiz.de/10013239324

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 confidential supervisory measure of IRR, this paper...

Persistent link: https://www.econbiz.de/10013314909

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