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Mortgage interest rate dispersion in the euro area
Sørensen, Christoffer Kok (contributor);  … - 2007
Despite the remarkable economic and financial convergence over the last ten years in the euro area, mortgage interest … rates still differ across countries. This note presents some stylised facts on the heterogeneity of mortgage interest rates … market: the market for mortgage loans. This allows us to identify more clearly the role of specific structural features …
Persistent link: https://www.econbiz.de/10003422842
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Measuring the effects of unconventional monetary policy on MBS spreads : a comparative study
Wang, Ling - In: The North American journal of economics and finance : a … 49 (2019), pp. 235-251
Persistent link: https://www.econbiz.de/10012269191
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Yield curve changes effect on Euro area bond indexes : a partial durations approach
Fonseca, José Soares da - In: International journal of monetary economics and finance 7 (2014) 1, pp. 28-39
Persistent link: https://www.econbiz.de/10010531296
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The tendency towards secondarity in managing global imbalances
Croitoru, Lucian - In: Analele ştiinţifice ale Univerşităţii Alexandru … 62 (2015) 3, pp. 291-311
Persistent link: https://www.econbiz.de/10011472746
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Do Eurozone yield spreads predict recessions?
Schock, Matthias - 2014 - Rev. September 2014
An OLS and probit framework is used to examine the predictive power of yield spreads with respect to GDP growth and recessions in the Eurozone from the 1990s to the recent past. Credit default swap (CDS) data on sovereign bonds, which provide a direct measure of default risk, are employed as...
Persistent link: https://www.econbiz.de/10010419649
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Interactions of unconventional monetary policy measures with the euro area yield curve
Gertler, Ľubomíra - In: Finance a úvěr 65 (2015) 2, pp. 106-126
Persistent link: https://www.econbiz.de/10010501900
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Predicting economic activity via Eurozone yield spreads : impact of credit risk
Schock, Matthias - 2015
A 'lost decade' for the Eurozone is looming on the horizon. Under these circumstances, stable indicators for future economic activity are especially valuable to decision makers. This paper examines the predictive power of the yield spread, one of the most reliable indicators for gross domestic...
Persistent link: https://www.econbiz.de/10010492457
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Scaling, unwinding and greening QE in a calibrated portfolio balance model
Riedler, Jesper; Koziol, Tina - 2021
We develop a portfolio balance model to analyze the impact of euro area quantitative easing (QE) on asset yields. Our model features two countries each populated by two agents representing their respective banking and mututal fund sectors. Agents, which differ in their preferences for assets,...
Persistent link: https://www.econbiz.de/10012671882
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The transmission of euro area interest rate shocks to Asia : do effects differ when nominal interest rates are negative?
Feldkircher, Martin; Huber, Florian; Punzi, Maria Teresa; … - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 13, pp. 3818-3834
Persistent link: https://www.econbiz.de/10012623476
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10013285648