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The impact of monetary policy announcements on the stock price of large European banks during the financial crisis
Ricci, Ornella - In: Journal of Banking & Finance 52 (2015) C, pp. 245-255
Since 2007, the European Central Bank responded decisively to the challenges posed by the global financial crisis, reducing key policy interest rates to unprecedented low levels and intervening with non-standard policy measures (i.e., monetary easing and liquidity provision). This paper aims to...
Persistent link: https://www.econbiz.de/10011209850
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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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Systemic Importance of Central Bank Communication : ECB Policy Announcements and Systemic Risk in the Eurozone
Möller, Rouven - 2020
This paper studies central bank communication of the ECB as a potential factor that explains the contribution to … able to use central bank communication to effectively steer private sector expectations in such a way that it has a robust … to be more sensitive towards the effects of central bank communication. More specifically, larger banks and highly …
Persistent link: https://www.econbiz.de/10012829038
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From Free Markets to Fed Markets : How Unconventional Monetary Policy Impacts Equity Markets
Putniņš, Tālis J. - 2020
In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...
Persistent link: https://www.econbiz.de/10012831878
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Do Financial Markets Learn from ECB Monetary Policy?
Filbien, Jean-Yves - 2013
This article examines the magnitude of stock market reactions around European Central Bank (ECB) monetary policy announcements. Since the introduction of ECB, the declining absolute abnormal returns have been compatible with stock market learning from ECB monetary policy making. The Eurozone...
Persistent link: https://www.econbiz.de/10013092215
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Would a Stricter Fed Policy and Financial Regulation Have Averted the Financial Crisis?
Gokhale, Jagadeesh - 2009
Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...
Persistent link: https://www.econbiz.de/10013155688
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Central Bank Information Shocks, Value Gains, and Value Crashes
Adra, Samer; Menassa, Elie - 2021
Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead to higher subsequent value returns. Crashes in the returns of value investing are most likely to...
Persistent link: https://www.econbiz.de/10013231644
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The Effectiveness of Unconventional Monetary Policy : The Term Auction Facility
Thornton, Daniel L. - 2010
This paper investigates the effectiveness of one of the Fed's unconventional monetary policy tools, the term auction facility (TAF). At issue is whether the TAF reduced the spread between LIBOR rates and equivalent-term Treasury rates by reducing the liquidity premium embedded in LIBOR rates....
Persistent link: https://www.econbiz.de/10013136572
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...
Persistent link: https://www.econbiz.de/10014527031
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Fed QE and bank lending behaviour : a heterogeneity analysis of asset purchases
Grimaldi, Marianna; Kapoor, Supriya - 2023
2008. The novelty of our approach is to augment the model with bank-level heterogeneity. While there is a relation between … dependent on banks' solvency and liquidity exposures. Our results highlight that it is necessary to take heterogeneity of …
Persistent link: https://www.econbiz.de/10014393221