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Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies
Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021
This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of...
Persistent link: https://www.econbiz.de/10012519567
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Modeling euro area bond yields using a time-varying factor model
Adam, Tomáš; Lo Duca, Marco - 2017
In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … mechanism of bond yields. Our key contribution is exploring both the global and the local dimensions of bond yield determinants … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …
Persistent link: https://www.econbiz.de/10011637545
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Flow effects of central bank asset purchases on euro area sovereign bond yields : evidence from a natural experiment
De Santis, Roberto A.; Holm-Hadulla, Fédéric - 2017
We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector …, led to a temporary 7 basis-point decline in sovereign bond yields on the day of purchase. This impact estimate is well …
Persistent link: https://www.econbiz.de/10011648320
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Banks and negative interest rates
Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021
In this paper, we survey the nascent literature on the transmission of negative policy rates. We discuss the theory of how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the growing evidence that negative policy rates are...
Persistent link: https://www.econbiz.de/10012518247
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Monetary policy transmission to mortgages in a negative interest rate environment
Amzallag, Adrien; Calza, Alessandro; Georgarakos, Dimitris - 2019
Do negative policy rates hinder banks' transmission of monetary policy? To answer this question, we examine the behaviour of Italian mortgage lenders using a novel loan-level dataset. When policy rates turn negative, banks with higher ratios of retail overnight deposits to total assets charge...
Persistent link: https://www.econbiz.de/10011975610
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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …
Persistent link: https://www.econbiz.de/10012241109
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Can EU bonds serve as euro- denominated safe assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...
Persistent link: https://www.econbiz.de/10013342231
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 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 this...
Persistent link: https://www.econbiz.de/10012024810
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The macroeconomic impact of the ECB's expanded asset purchase programme (APP)
Gambetti, Luca; Musso, Alberto - 2017
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...
Persistent link: https://www.econbiz.de/10011659350