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Härdle, Wolfgang (contributor); … - 2008

with the estimation from the simulated process, though the BC method shows smaller deviations in case of high interest rate …

Persistent link: https://www.econbiz.de/10003727608

Euro interest rate swap yields : a GARCH analysis

Akram, Tanweer; Mamun, Khawaja Abdullah al - 2023

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows that the change in the short-term interest rate has an economically and statistically significant effect on the change in EUR swap yields of different maturity tenors, after...

Persistent link: https://www.econbiz.de/10014438498

The Power of Collateral : The ECB and Bank Funding Strategies in Crisis

Gabor, Daniela - 2012

conceptualize the importance of collateral ? (b) how can the analytical integration of geographies of collateralized bank funding … of exit strategies through the lens of collateral? The paper argues that the short-term nature of collateral management …, in particular the key role that perceptions of collateral quality play in European banks' demand for sovereign bonds, is …

Persistent link: https://www.econbiz.de/10013106366

The Performance of Credit Rating Systems in the Assessment of Collateral Used in Eurosystem Monetary Policy Operations

Coppens, François - 2010

level at which the Eurosystem considers financial assets to be eligible collateral for its monetary policy operations. The … assessment of eligible collateral underlying Eurosystem monetary policy operations. Contrary to the widely used confidence …

Persistent link: https://www.econbiz.de/10013137459

Sovereign spreads, central bank collateral frameworks, and periphery premia in the Eurozone

Schuster, Florian - 2023

Eurosystem's move from unconditional to conditional collateral eligibility of sovereign bonds, as part of the 2005 Single List …

Persistent link: https://www.econbiz.de/10014364133

Announcements of ECB unconventional programs : implications for the sovereign risk of Italy

Falagiarda, Matteo; Reitz, Stefan - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10009783711

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2019

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Persistent link: https://www.econbiz.de/10012896694

Central banks' response to inflation, output gap, and exchange rate in Nigeria and South Africah

Vincent, Olusegun - In: Cogent business & management 8 (2021) 1, pp. 1-12

In Africa, a number of countries like South Africa have adopted inflation targeting. In Nigeria, different monetary policy regimes have been adopted over the years with rather unsatisfactory success. This study examines inflation targeting in Nigeria and South Africa, using fully modified least...

Persistent link: https://www.econbiz.de/10012628924

Hawks vs. Doves : ECB's monetary policy in light of the Fed's policy stance

Hauzenberger, Niko; Huber, Florian; Zörner, Thomas - 2023

The secular increase in globalization led to a substantial increase in the interconnectedness of global financial markets. This has important implications for the conduct of monetary policy, as central bank policies may diverge across countries, potentially affecting key transmission channels of...

Persistent link: https://www.econbiz.de/10014445207

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Entrop, Oliver - 2014

This paper quantifies and explains valuation differences between credit default swaps and corporate bonds from a sample of European investment-grade firms. Based on all information gained through the calibration of a stochastic intensity credit model to the time series of the issuer's CDS curve,...

Persistent link: https://www.econbiz.de/10013069439