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Negative interest rates, excess liquidity and retail deposits : banks' reaction to unconventional monetary policy in the euro area
Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2019
’ funding structures jointly with that in their excess liquidity holdings. We find evidence that banks highly exposed to the …, importantly, the explicit consideration of the role of excess liquidity in our analysis. …
Persistent link: https://www.econbiz.de/10012009191
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How do banks manage liquidity? : evidence from the ECB's tiering experiment
Baldo, Luca; Heider, Florian; Hoffmann, Peter; Sigaux, … - 2022
We study how banks manage their liquidity among the various assets at their disposal. We exploit the introduction of … assets over time. Our results imply that frictions in one market for liquidity can spill over to several markets. …
Persistent link: https://www.econbiz.de/10013375171
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Money in monetary policy design : monetary cross-checking in the New-Keynesian model
Beck, Günter W.; Wieland, Volker - 2010
In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...
Persistent link: https://www.econbiz.de/10003973215
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Unconventional monetary policy and funding liquidity risk
Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020
This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …
Persistent link: https://www.econbiz.de/10012137673
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Money in monetary policy design
Beck, Guenter W.; Wieland, Volker - 2010
In the New-Keynesian model, optimal interest rate policy under uncertainty is formulated without reference to monetary aggregates as long as certain standard assumptions on the distributions of unobservables are satisfied. The model has been criticized for failing to explain common trends in...
Persistent link: https://www.econbiz.de/10009640349
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Central Bank misperceptions and the role of money in interest rate rules
Beck, Günter W.; Wieland, Volker - 2008
Research with Keynesian-style models has emphasized the importance of the output gap for policies aimed at controlling inflation while declaring monetary aggregates largely irrelevant. Critics, however, have argued that these models need to be modified to account for observed money growth and...
Persistent link: https://www.econbiz.de/10003825850
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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
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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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Does liquidity regulation impede the liquidity profile of collateral?
Schmidt, Kirsten - 2019
We analyze the pledging behavior of Euro area banks during the introduction of the liquidity coverage ratio (LCR). The … national liquidity requirements to proxy for banks' incentives to exploit this differential treatment of central bank eligible … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …
Persistent link: https://www.econbiz.de/10011994641
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Liquidity coverage ratios and monetary policy credit in the time of Corona
Gocheva, Viktoriya; Mudde, Yvo; Tapking, Jens - 2022
When a bank receives credit from the central bank, its Liquidity Coverage Ratio (LCR) changes. In most cases, the LCR …
Persistent link: https://www.econbiz.de/10013256543