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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

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

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

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

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

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

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

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

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

The coming US interest rate tightening cycle : smooth sailing or stormy waters?

Arteta, Carlos Ó.; Kose, M. Ayhan; Ohnsorge, Franziska; … - 2015

The U.S. Federal Reserve (Fed) is expected to start raising policy interest rates in the near term and thus commence a tightening cycle for the first time in nearly a decade. The taper tantrum episode of May-June 2013 is a reminder that even a long anticipated change in Fed policies can trigger...

Persistent link: https://www.econbiz.de/10011389408

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