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The Term Structure of Euro Area Break-Even Inflation Rates : The Impact of Seasonality
Ejsing, Jacob Wellendorph; Garcia, Juan Angel; Werner, … - 2021
This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …
Persistent link: https://www.econbiz.de/10013316774
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020
We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...
Persistent link: https://www.econbiz.de/10012424954
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2019
We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this...
Persistent link: https://www.econbiz.de/10012024810
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Quantitative easing and the supply of safe assets : evidence from international bond safety premia
Christensen, Jens H. E.; Mirkov, Nikola; Zhang, Xin - 2024
Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...
Persistent link: https://www.econbiz.de/10015062504
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The term structure of euro area break-even inflation rates: the impact of seasonality
Ejsing, Jacob; García, Juan Angel; Werner, Thomas - 2007
This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …
Persistent link: https://www.econbiz.de/10011604876
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COVID-19, Ukraine-Russia war, and European Sovereign Bond Markets
Carnazza, Giovanni; Liberati, Paolo - 2022
Persistent link: https://www.econbiz.de/10014076976
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The Dynamics of Government Bond Yields in the Eurozone
Akram, Tanweer - 2017
This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group (PMG) technique of cointegration is applied on both monthly and quarterly datasets to examine the major drivers of nominal yields of long-term government bonds in a set of 11...
Persistent link: https://www.econbiz.de/10012956837
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Which Combination of Fiscal and External Imbalances to Determine the Long-Run Dynamics of Sovereign Bond Yields?
BenSalem, Mélika - 2016
In the aftermath of the crisis, sovereign risk premium differentials have been increasingly widening. Although the perceived risk for core countries remains relatively low, financial markets seem to discriminate among peripheral economies requiring higher risk premia than what is justified by...
Persistent link: https://www.econbiz.de/10012979651
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The Effectiveness of the ECB's Asset Purchase Programs of 2009 to 2012
Tavlas, George S.; Gibson, Heather D.; Hall, Stephen G. - 2022
We examine the impact of the ECB’s Securities Market Program (SMP) and the ECB’s two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are...
Persistent link: https://www.econbiz.de/10013492698
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Sovereign Bond Yield Spreads : A Time-Varying Coefficient Approach
Bernoth, Kerstin - 2010
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to...
Persistent link: https://www.econbiz.de/10013135691