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on the risk perception of market participants. Using a large data set covering the time period from pre-crisis 2006 until … the end of 2013, I provide empirical evidence that the deteriorated market conditions cause the shape of the risk … purchase programs such as the Covered Bond Purchase Program (CBPP) and the Securities Market Program (SMP) have a risk …
Persistent link: https://www.econbiz.de/10012979804
reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit … risk reduction we find rather mild effects from portfolio rebalancing for all countries. …
Persistent link: https://www.econbiz.de/10011743065
COVID-19 has quickly emerged as a novel risk, generating feverish behavior among investors, and posing unprecedented …COVID-19 hat sich schnell zu einem neuartigen Risiko entwickelt, das bei Investoren ein nervöses Verhalten hervorruft …
Persistent link: https://www.econbiz.de/10012250433
We examine howthe verbal complexity of ECB communications affectsfi-nancial market trading based on high-frequency data fromEuropean stock index futures trading. Studying the 34 events between May 2009 and June 2017, during which the ECB Governing Council press conferences covered unconventional...
Persistent link: https://www.econbiz.de/10012039675
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and...
Persistent link: https://www.econbiz.de/10014330976
To examine the Eurozone stock market reactions to European Central Bank (ECB) monetary policy announcement surprises, we study the effect of unexpected changes in the ECB's main refinancing rate on aggregate and sectorial Eurozone equity returns. We also analyse the results according to varying...
Persistent link: https://www.econbiz.de/10013093483
Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999-2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional...
Persistent link: https://www.econbiz.de/10013014193
This paper provides empirical evidence about the announcement effects of the ECB unconventional monetary policies carried out during the period September 2014 - July 2017. The variables considered are selected looking at the various transmission channels through which unconventional measures...
Persistent link: https://www.econbiz.de/10012921956
systemic risk for a panel of large banks in the Eurozone between 2002 and 2018. The empirical evidence suggests that the ECB is … and significant impact on banks' contribution to systemic risk. However, the results indicate that this influence varies … line with its own policy objectives at time. Additional analyses show that banks that contribute more to systemic risk tend …
Persistent link: https://www.econbiz.de/10012829038
Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and ask whether an information effect, where the public...
Persistent link: https://www.econbiz.de/10012822502