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Can central bank communication help to stabilise inflation expectations?

Jung, Alexander; Kühl, Patrick - 2021

information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …

Persistent link: https://www.econbiz.de/10012511097

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10009640455

The reception of public signals in financial markets : what if central bank communication becomes stale?

Ehrmann, Michael; Sondermann, David - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …

Persistent link: https://www.econbiz.de/10003963731

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three …

Persistent link: https://www.econbiz.de/10012009157

High frequency trading and fragility

Cespa, Giovanni; Vives, Xavier - 2017

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

Persistent link: https://www.econbiz.de/10011637013

How news affects sectoral stock prices through earnings expectations and risk premia

Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020

A growing body of literature analyses the impact of news on companies' equity prices. We add to this literature by showing that the transmission channel of news to prices differs across sectors. First, we disentangle sectoral equity prices into components of expected future earnings and equity...

Persistent link: https://www.econbiz.de/10012316963

It's not time to make a change : sovereign fragility and the corporate credit risk

Fornari, Fabio; Zaghini, Andrea - 2022

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

Persistent link: https://www.econbiz.de/10013391043

Central bank asset purchases and auction cycles revisited : new evidence from the euro area

Ferrara, Federico M. - 2024

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

Persistent link: https://www.econbiz.de/10014527031

Are asset price data informative about news shocks? : a DSGE perspective

Iskrev, Nikolay - 2018

models containing news shocks. This paper shows how to formally evaluate the information content of observed variables with …

Persistent link: https://www.econbiz.de/10011864177

Price drift before U.S. macroeconomic news : private information about public announcements?

Kurov, Alexander; Sancetta, Alessio; Strasser, Georg; … - 2016

Persistent link: https://www.econbiz.de/10011618283