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Did quantitative easing affect interest rates outside the US? : new evidence based on interest rate differentials

Belke, Ansgar; Gros, Daniel; Osowski, Thomas - 2016

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

Persistent link: https://www.econbiz.de/10011414128

Monetary policy, stock prices and central banks cross-country comparisons of cointegrated VAR models

Belke, Ansgar; Wiedmann, Marcel - 2013

In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies – namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil – in the Cointegrated...

Persistent link: https://www.econbiz.de/10009779040

International spillovers in global asset markets

Belke, Ansgar; Dubova, Irina - 2017

The paper empirically estimates the financial transmission between bond and equity markets within and across the four largest global financial markets - the United States, the Euro area, Japan, and the United Kingdom. We argue that international bond and equity markets are highly connected both...

Persistent link: https://www.econbiz.de/10011657650

Unconventional monetary policy and inflation expectations in the euro area

Aßhoff, Sina; Belke, Ansgar; Osowski, Thomas - 2020

Auswirkungen der unkonventionellen Geldpolitik ist nicht trivial, da standardisierte empirische Instrumente wie die VAR … Problem zu lösen. Wir stellen fest, dass die unkonventionelle Geldpolitik zwar kurzfristig zu einem Anstieg der … beigetragen hat. Dennoch deuten sie auf einen durch die unkonventionelle Geldpolitik ausgelösten Anstieg des mittelfristigen …

Persistent link: https://www.econbiz.de/10012149519

International effects of euro area versus US policy uncertainty : a FAVAR approach

Belke, Ansgar; Osowski, Thomas - 2017

Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we estimate a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty shocks and check whether the signs, the magnitude, and the...

Persistent link: https://www.econbiz.de/10011640939

The impact of uncertainty on macro variables : an SVAR-based empirical analysis for EU countries

Belke, Ansgar; Kronen, Dominik - 2017

In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of economic policy uncertainty and financial market uncertainty on a set of macroeconomic variables such as production, consumption and investment. In this paper, we apply a...

Persistent link: https://www.econbiz.de/10011662699

Sacrifice ratios for euro area countries : new evidence on the costs of price stability

Belke, Ansgar; Böing, Tobias - 2014

The purpose of this article is to deliver new estimates of the sacrifice ratio of Euro area countries. A high sacrifice ratio means a large loss of gross domestic product (GDP) or employment for a given reduction in inflation. In order to estimate the cost of adjustments in inflation rates by...

Persistent link: https://www.econbiz.de/10010437493

Measuring fiscal spillovers in EMU and beyond : a global VAR approach

Belke, Ansgar; Osowski, Thomas - 2016

This paper identifies and measures fiscal spillovers in the EU countries empirically using a global vector autoregression (GVAR) model. Our aim is to look at the sign and the absolute values of fiscal spillovers in a country-wise perspective and at the time profile (impulse response) of the...

Persistent link: https://www.econbiz.de/10011570987