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ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010222894

The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

Paccagnini, Alessia - 2014

The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...

Persistent link: https://www.econbiz.de/10014144946

Procyclical finance : the money view

Li, Ye - 2017

Financial intermediaries issue the majority of liquid securities, and nonfinancial firms have become net savers, holding intermediaries' debt as cash. This paper shows that intermediaries' liquidity creation stimulates growth -- firms hold their debt for unhedgeable investment needs -- but also...

Persistent link: https://www.econbiz.de/10011968932

"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. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

"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

Unconventional monetary policy and funding liquidity risk

Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020

well capitalized, they have access to money markets and efficiently mitigate funding shocks. When aggregate bank capital is … low, a vicious cycle arises between declining asset prices and funding risks. The central bank can partially counter these … shadow banking sector. When the shadow banking sector is large, as in the US in 2008, the central bank can further stabilize …

Persistent link: https://www.econbiz.de/10012137673

The macro view

Balling, Morten (ed.); Berk, Jan Marc (ed.); … - Colloquium The Quest for Stability <2009, Utrecht>; … - 2010

On September 3-4, 2009, SUERF and Utrecht University School of Economics jointly organized the 28th SUERF Colloquium on "The Quest for Stability" in Utrecht, the Netherlands. The papers contained in this SUERF Study jointly published with DNB and Rabobank are based on contributions to this...

Persistent link: https://www.econbiz.de/10011706504

Fear the walking dead? : zombie firms in the euro area and their effect on healthy firms' credit conditions

Havemeister, Lea Katharina; Horn, Kristian - 2023

Zombie firms may adversely impact healthy firms through several transmission channels. Besides real spillover effects on productivity or investment, zombies may also cause negative financial spillover effects, where zombies receive credit at more favourable conditions than healthy firms. We...

Persistent link: https://www.econbiz.de/10014309045

Future of the Economic and Monetary Union

Gortsos, Christos V. - 2022

crisis have affected the conduct of monetary policy by the European Central Bank (ECB) within the Eurosystem, have led to the …

Persistent link: https://www.econbiz.de/10014077291

Stability and identification with optimal macroprudential policy rules

Chatelain, Jean-Bernard; Ralf, Kirsten - 2014 - Preprint

) and minimizing the volatility of the policy interest rates, when the central bank precommits to financial stability …

Persistent link: https://www.econbiz.de/10010378907