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The benefits and costs of highly expansionary monetary policy
Rawdanowicz, Łukasz; Bouis, Romain; Watanabe, Shingo - 2013
How far to go – and to remain – in the direction of highly expansionary monetary policy hinges on the balance of marginal benefits and costs of additional monetary easing and its expected evolution over time. This paper sketches a framework for assessing this balance and applies it to four...
Persistent link: https://www.econbiz.de/10010231107
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Was There a 'Greenspan Conundrum' in the Euro Area?
Lame, Gildas - 2013
This paper implements an affine term structure model that accommodates "unspanned" macro risks for the Euro area, i.e. distinct from yield-curve risks. I use an averaging-estimator approach to obtain a better estimation of the historical dynamics of the pricing factors, thus providing more...
Persistent link: https://www.econbiz.de/10013084022
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A Model of the Euro-Area Yield Curve with Discrete Policy Rates
Renne, Jean-Paul - 2013
This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate … exploited to simulate forward-guidance measures. A credible commitment of the central bank to keep its policy rate unchanged for … a given period of time can result in substantial declines in yields. For instance, a central-bank commitment to keep the …
Persistent link: https://www.econbiz.de/10013090277
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A Model of the Euro-Area Yield Curve with Discrete Policy Rates
Renne, Jean-Paul - 2013
-lower-bound restriction. The short end of the yield curve is explicitly influenced by the central-bank policy rate, the latter being a … assess the potential impact of a commitment of the central bank to keep its policy rate at a very low level for a …
Persistent link: https://www.econbiz.de/10013090831
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A Model of the Euro-Area Yield-Curve with Discrete Policy Rates
Renne, Jean-Paul - 2014
This paper presents a no-arbitrage yield-curve model that explicitly incorporates the central-bank policy rate. The … credible commitment of the central bank to keep its policy rate unchanged for a given period of time can result in substantial …
Persistent link: https://www.econbiz.de/10013066510
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...
Persistent link: https://www.econbiz.de/10013073134
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‘Whatever It Takes’ to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects
Afonso, António - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10012943161
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 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/10012867012
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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 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/10012870045
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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