Narrow search
Showing 1 - 10 of 8,865
Cover Image
Time variation in asset price response to macro announcements
Goldberg, Linda S.; Grisse, Christian - 2013
Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....
Persistent link: https://www.econbiz.de/10010333621
Cover Image
Covid-19, sovereign risk and monetary policy: Evidence from the European Monetary Union
Karaman, Seçil Yıldırım - In: Central Bank Review (CBR) 22 (2022) 3, pp. 99-107
This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...
Persistent link: https://www.econbiz.de/10014547832
Cover Image
Much ado about nothing: Sovereign ratings and government bond yields in the OECD
El-Shagi, Makram - 2016
In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those...
Persistent link: https://www.econbiz.de/10011500789
Cover Image
Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links …
Persistent link: https://www.econbiz.de/10010335985
Cover Image
Capital inflows and euro area long-term interest rates
Carvalho, Daniel; Fidora, Michael - 2015
Capital flows into the euro area were particularly large in the mid-2000s and the share of foreign holdings of euro area securities increased substantially between the introduction of the euro and the outbreak of the global financial crisis. We show that the increase in foreign holdings of euro...
Persistent link: https://www.econbiz.de/10011605843
Cover Image
New Paradigms in Monetary Theory and Policy?
Balling, Morten; Llewellyn, David T.; Orphanides, Athanasios - 2012
On 11-12 May 2011, SUERF and the Belgian Financial Forum, in association with the Brussels Finance Institute and the Centre for European Policy Studies (CEPS) organized the 29th SUERF Colloquium “New Paradigms in Money and Finance?” All the papers in the present SUERF Study are based on...
Persistent link: https://www.econbiz.de/10011689952
Cover Image
A role model for China?: exchange rate flexibility and monetary policy in Japan
Schnabl, Gunther; Danne, Christian - 2007
Few papers have tried to project how Chinese monetary policy will behave under flexible exchange rates. As Japan … provides an important role model for China, this paper studies the role of the yen/dollar exchange rate for Japanese monetary … policy after the shift of Japan from a fixed to a floating exchange rate regime. The econometric estimations allow for regime …
Persistent link: https://www.econbiz.de/10010264171
Cover Image
Are bond markets really overpriced: The case of the US
Clostermann, Jörg; Seitz, Franz - 2005
In the present paper we analyse whether fundamental macroeconomic factors, temporary influences or more structural factors have contributed to the recent decline in bond yields in the US. For that purpose, we start with a very general model of interest rate determination in which risk premia are...
Persistent link: https://www.econbiz.de/10012058558
Cover Image
An empirical analysis of Swedish government bond yields
Akram, Tanweer; Yadav, Mahima - 2024
This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short-term interest rate has a decisive influence on long-term SGB yields, after controlling for other macroeconomic and financial variables, such as consumer price inflation, the...
Persistent link: https://www.econbiz.de/10014581759
Cover Image
A simple model of the long-term interest rate
Akram, Tanweer - 2020
This paper presents a simple model of the long-term interest rate. The model represents John Maynard Keynes's conjecture that the central bank's actions influence the long-term interest rate primarily through the short-term interest rate, while allowing for other important factors. It relies on...
Persistent link: https://www.econbiz.de/10012610179