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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A … higher premium suggests less substitutability of sovereign bonds. We document a rise in the 'Bund premium' in the post …-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds …
Persistent link: https://www.econbiz.de/10012154614
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The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Nagayasu, Jun - 2003
-structure relationship is also weakened by the Bank of Japan''s use of interest rate smoothing …
Persistent link: https://www.econbiz.de/10014403996
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Bank of Japan’s quantitative and credit easing : are they now more effective?
Berkmen, S. Pelin - 2012
Persistent link: https://www.econbiz.de/10009424688
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Twenty years of unconventional monetary policies : lessons and way forward for the Bank of Japan
Westelius, Niklas J. - 2020
Persistent link: https://www.econbiz.de/10012392475
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Crossing the credit channel : credit spreads and firm heterogeneity
Anderson, Gareth; Cesa-Bianchi, Ambrogio - 2020
information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms …
Persistent link: https://www.econbiz.de/10012485947
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Monetary policy is not always systematic and data-driven : evidence from the yield curve
Bulíř, Aleš; Vlček, Jan - 2020
Does monetary policy react systematically to macroeconomic innovations? In a sample of 16 countries - operating under various monetary regimes - we find that monetary policy decisions, as expressed in yield curve movements, do react to macroeconomic innovations and these reactions reflect the...
Persistent link: https://www.econbiz.de/10012170089
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Monetary transaction costs and the term premium
Espinoza, Raphael A.; Tsomocos, Dimitrios P. - 2013
Persistent link: https://www.econbiz.de/10009747253
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Credit growth and the effectiveness of reserve requirements and other macroprudential instruments in Latin America
Tovar, Camilo Ernesto; Garcia-Escribano, Mercedes; … - 2012
Persistent link: https://www.econbiz.de/10009618590
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Equilibrium yield curve, the Phillips curve, and monetary policy
Katagiri, Mitsuru - 2018
Upward sloping yield curves are hard to reconcile with the positive association between income and inflation (the Phillips curve) in consumption-based asset pricing models. Using US and UK data, this paper shows inflation is negatively correlated with long-run income growth but positively...
Persistent link: https://www.econbiz.de/10011932527
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The scarcity effect of quantitative easing on repo rates : evidence from the euro area
Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; … - 2018
Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...
Persistent link: https://www.econbiz.de/10011978433