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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

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

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

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

The term structure of euro area break-even inflation rates: the impact of seasonality

Ejsing, Jacob; García, Juan Angel; Werner, Thomas - 2007

Persistent link: https://www.econbiz.de/10011604876

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 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. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...

Persistent link: https://www.econbiz.de/10011759005

Rules and risk in the euro area

Iara, Anna; Wolff, Guntram B. - 2011

With a unique data set summarizing the quality of rules-based fiscal governance in EU member states, we show that stronger fiscal rules in euro area members reduce sovereign risk premia, in particular in times of market stress. To do so, we develop a model of sovereign spreads that are...

Persistent link: https://www.econbiz.de/10009315724

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010239739

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

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 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/10010206145