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Modeling euro area bond yields using a time-varying factor model

Adam, Tomáš; Lo Duca, Marco - 2017

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

Persistent link: https://www.econbiz.de/10011637545

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

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 factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

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

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - 2008

several shocks to the spreads (e.g. interest rate expectations, volumes of open market operations, interest rate volatility …

Persistent link: https://www.econbiz.de/10003826033

Global impacts of US monetary policy uncertainty shocks

Lastauskas, Povilas; Nguyen, Anh D. M. - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

Persistent link: https://www.econbiz.de/10012418859

Starting from a blank page? : semantic similarity in central bank communication and market volatility

Ehrmann, Michael; Talmi, Jonathan - 2017

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …

Persistent link: https://www.econbiz.de/10011637411

ECB monetary policy surprises : identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - 2014

Persistent link: https://www.econbiz.de/10010382054

Impact of the asset purchase programme on euro area government bond yields using market news

De Santis, Roberto A. - 2016

Persistent link: https://www.econbiz.de/10011618766

Estimating Fed's unconventional policy shocks

Jarociński, Marek - 2021

Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...

Persistent link: https://www.econbiz.de/10012607553

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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