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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

Complexity of ECB Communication and Financial Market Trading

Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen; Zahner, … - 2020

We empirically examine how complexity of ECB communications affects financial market trading based on high-frequency data from European stock index futures trading. Our sam-ple covers ECB press conferences between January 2009 and December 2017, during which unconventional monetary policy...

Persistent link: https://www.econbiz.de/10014352339

Emotion in Euro Area Monetary Policy Communication and Bond Yields : The Draghi Era

Kanelis, Dimitrios; Siklos, Pierre L. - 2023

We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...

Persistent link: https://www.econbiz.de/10014255461

Real effects of financial market integration : evidence from an ECB collateral framework change

Hüttl, Pia; Kaldorf, Matthias - 2022

This paper studies the effects of harmonizing collateral policy in a monetary union. In 2007, the European Central Bank … replaced national collateral lists with a single list specifying which assets euro area banks can pledge as collateral. Banks … harmonized collateral framework facilitates cross-border lending to borrowing-constrained firms and, thereby, increases financial …

Persistent link: https://www.econbiz.de/10013279271

Real effects of financial market integration : evidence from an ECB collateral framework change

Hüttl, Pia; Kaldorf, Matthias - 2022

Persistent link: https://www.econbiz.de/10013336407

Real effects of financial market integration : evidence from an ECB collateral framework change

Hüttl, Pia; Kaldorf, Matthias - 2022 - Revised version: 6. February 2023

Does central bank collateral policy contribute to financial market integration? We address this question by exploiting … that, in 2007, the European Central Bank replaced national collateral frameworks by a single list. Under the single list … regime, euro area banks could pledge all euro area bank loans as collateral, not only domestic loans as before the framework …

Persistent link: https://www.econbiz.de/10013549091

The Short-Run Effect of Monetary Policy Shocks on Credit Risk : An Analysis of the Euro Area

Kim, Chi Hyun - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of...

Persistent link: https://www.econbiz.de/10012893974

The Pricing of Bank Bonds, Sovereign Credit Risk and ECB’s Asset Purchase Programmes

Branco, Ricardo - 2020

The 2008 Global financial crisis and the subsequent European sovereign debt crisis deteriorated banks funding conditions and lead to a substitution effect among bond instruments. We examine the pricing of straight, covered and securitization bonds issued by European banks in the 2000-2016...

Persistent link: https://www.econbiz.de/10012823340

The Relative Pricing of Sovereign Credit Risk after the Eurozone Crisis

Corvino, Raffaele - 2020

We investigate whether riskier European countries compensate their debtholders properly by paying out sufficiently higher bond yields compared to those of safer European countries, during and after the sovereign debt crisis of 2010-2012. Using the relative pricing between credit default swap...

Persistent link: https://www.econbiz.de/10012853846

Funding Liquidity, Credit Risk and Unconventional Monetary Policy in the Euro Area : A GVAR Approach

Moramarco, Graziano - 2021

This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, a financial GVAR model is estimated for Germany, France, Italy and Spain on monthly data over the period 2006-2017. The interactions...

Persistent link: https://www.econbiz.de/10013313815