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What Option Prices Tell Us About the ECB's Unconventional Monetary Policies
Olijslagers, Stan - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012906936
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What Option Prices Tell Us About the ECB’s Unconventional Monetary Policies
Olijslagers, Stan - 2019
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012888949
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Inflation: thruway of ECB's monetary policy
Seidl, Christian - 2023
Part of the present inflation is caused by the breakdown of globalization, in particular supply chains, part is caused … the past and in the presence. This paper attributes inflation decisively to the overwhelming money creation by the …
Persistent link: https://www.econbiz.de/10013553631
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Predictability in Implied Volatility Surfaces : Evidence from the Euro OTC FX Market
Chalamandaris, George - 2014
Recent general equilibrium models prescribe predictable dynamics in the volatility surfaces that are implied by observed option prices. In this paper we investigate the predictability of surfaces, using extensive time series of implied volatilities from over-the-counter options on eight...
Persistent link: https://www.econbiz.de/10013066121
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Contingent Claims Analysis of Sovereign Default Risk in the Eurozone
Kahlert, Dennis - 2017
We study sovereign default risk as measured by credit default swap (CDS) spreads of Eurozone member states between 2008 and 2016. Applying a structural credit risk model we analyze to what extent contingent claims analysis can explain spreads given fundamental balance sheet information. First...
Persistent link: https://www.econbiz.de/10012957977
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Incorporating Creditors' Seniority into Contingent Claim Models : Applicarion to Peripheral Euro Area Countries
Gómez-Puig, Marta - 2019
We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro area countries over the 2004Q4-2013Q2 period. Applying the contingent claims methodology, we build indicators of sovereign and banking sector risk (incorporating both market and balance sheet...
Persistent link: https://www.econbiz.de/10012895457
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Balance sheet interlinkages and macro-financial risk analysis in the Euro area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10003969268
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Castren, Olli - 2009
The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures...
Persistent link: https://www.econbiz.de/10013153431
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Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has … the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on … options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010415789