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The Scarcity Effect of Quantitative Easing on Repo Rates : Evidence from the Euro Area
Arrata, William - 2019
Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates …. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases … and repo transactions for specific ('special') securities, we assess the scarcity channel of PSPP and its impact on repo …
Persistent link: https://www.econbiz.de/10012895124
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Scarcity Effects of Quantitative Easing on Market Liquidity : Evidence from the Japanese Government Bond Market
Han, Fei - 2018
Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank's holdings of certain securities leads to a...
Persistent link: https://www.econbiz.de/10012913879
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International Capital Flows at the Security Level - Evidence from the ECB's Asset Purchase Programme
Bergant, Katharina - 2020
We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level …
Persistent link: https://www.econbiz.de/10012836534
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Global Financial Spillovers to Emerging Market Sovereign Bond Markets
Ebeke, Christian - 2015
Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased...
Persistent link: https://www.econbiz.de/10013019036
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Global Spillovers into Domestic Bond Markets in Emerging Market Economies
Jaramillo, Laura - 2014
While fiscal conditions remain healthier than in advanced economies, emerging economies continue to be exposed to negative spillovers if global conditions were to become less favorable. This paper finds that domestic bond yields in emerging economies are heavily influenced by two international...
Persistent link: https://www.econbiz.de/10013060539
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Quantitative Easing and Long-Term Yields in Small Open Economies
Diez de los Rios, Antonio - 2017
We compare the effectiveness of Federal Reserve's asset purchase programs in lowering long term yields with that of similar programs implemented by the Bank of England, the Swedish Riksbank, and the Swiss National Bank's reserve expansion program. We decompose government bond yields into (i) an...
Persistent link: https://www.econbiz.de/10012944960
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Spillovers from Japan's Unconventional Monetary Policy to Emerging Asia : A Global VAR Approach
Ganelli, Giovanni - 2016
We use a Global VAR model to study spillovers from the Bank of Japan's quantitative and qualitative easing (QQE) on emerging Asia. Our main result is that, despite an appreciation of their currencies vis-a-vis the yen, the impact on emerging Asia's GDP tended to be positive and significant. Our...
Persistent link: https://www.econbiz.de/10012977736
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Should Korea Worry About a Permanently Weak Yen?
Ree, Jack - 2015
Three years have passed since the Bank of Japan's asset purchase program was introduced in 2011, causing a sharp decline in the value of the Japanese Yen. What would be the implications for Japan and Korea's exporters if the weak Yen is here to stay? We explore this question by examining...
Persistent link: https://www.econbiz.de/10013016594
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Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?
Bayoumi, Tamim - 2013
This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly...
Persistent link: https://www.econbiz.de/10013084151
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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Ahokpossi, Calixte - 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...
Persistent link: https://www.econbiz.de/10012977868