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The Phillips curve at the ECB
Eser, Fabian; Karadi, Peter; Lane, Philip R.; Moretti, Laura - 2020
We explain the role of the Phillips Curve in the analysis of the economic outlook and the formulation of monetary policy at the ECB. First, revisiting the structural Phillips Curve, we highlight the challenges in recovering structural parameters from reduced-form estimates and relate the...
Persistent link: https://www.econbiz.de/10012212851
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The first twenty years of the European Central Bank : monetary policy
Hartmann, Philipp; Smets, Frank - 2018
On 1 June 2018 the ECB celebrated its 20th anniversary. This paper provides a comprehensive view of the ECB's monetary policy over these two decades. The first section provides a chronological account of the macroeconomic and monetary policy developments in the euro area since the adoption of...
Persistent link: https://www.econbiz.de/10011959260
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The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2017
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...
Persistent link: https://www.econbiz.de/10011764397
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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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Bank to sovereign risk spillovers across borders : evidence from the ECB's comprehensive assessment
Breckenfelder, Johannes; Schwaab, Bernd - 2018
We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed...
Persistent link: https://www.econbiz.de/10011924410
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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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Supervisory policy stimulus : evidence from the euro area dividend recommendation
Dautovic, Ernest; Gambacorta, Leonardo; Reghezza, Alessio - 2023
At the onset of the Covid-19 outbreak, central banks and supervisors introduced dividend restrictions as a new policy instrument aimed at supporting lending to the real economy and strengthening banks' capacity to absorb losses. In this paper we estimate the impact of the ECB's dividend...
Persistent link: https://www.econbiz.de/10014278602
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Demographics and inflation in the euro area : a two-sector new Keynesian perspective
Lis, Eliza Magdalena; Nickel, Christiane; Papetti, Andrea - 2020
Can the aging process affect inflation? The prolonged decline of fertility and mortality rates induces a persistent … downward pressure on the natural interest rate. If this development is not internalized by the monetary policy rule, inflation … inflation found in the data for the euro area. In this model, continuing to follow the same rule makes inflation to be on a …
Persistent link: https://www.econbiz.de/10012181303
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Low inflation and monetary policy in the euro area
Conti, Antonio M.; Neri, Stefano; Nobili, Andrea - Task Force on Low Inflation (LIFT) - 2017
Inflation in the euro area has been falling since mid-2013, turned negative at the end of 2014 and remained below … by means of sign restrictions, to inflation and economic activity. Shocks to oil supply do not tell the full story about … contractionary. A country analysis confirms that the negative effects of oil supply and monetary policy shocks on inflation was …
Persistent link: https://www.econbiz.de/10011636807
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Euro area real-time density forecasting with financial or labor market frictions
McAdam, Peter; Warne, Anders - 2018
-Wouters model and its forecasts of real GDP growth and inflation are compared with those from two extensions. The first adds … extensions improve the density forecasts of real GDP and inflation and their joint forecasts up to an eight-quarter horizon. We … find that adding financial frictions leads to a deterioration in the forecasts, with the exception of longer-term inflation …
Persistent link: https://www.econbiz.de/10011813503