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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
impact on liquidity conditions as measured by bid-ask spreads and inter-dealer order book depth. We further show that the …
Persistent link: https://www.econbiz.de/10011632212
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Hofer, Heiko; Riordan, Ryan; … - 2017
Persistent link: https://www.econbiz.de/10011752683
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The impact of quantitative easing on emerging markets : literature review
Bartkiewicz, Piotr - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 4, pp. 67-76
The article presents the results of the review of the empirical literature regarding the impact of quantitative easing (QE) on emerging markets (EMs). The subject is of interest to policymakers and researchers due to the increasingly larger role of EMs in the world economy and the large-scale...
Persistent link: https://www.econbiz.de/10011993120
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The interest rate effects of government bond purchases away from the lower bound
De Rezende, Rafael B. - 2016
I analyze the recent experience of unconventional monetary policy in Sweden to study the interest rate transmission mechanisms of government bond purchases when interest rates are not constrained by a lower bound. Using dynamic term structure models and event study regressions I find that...
Persistent link: https://www.econbiz.de/10011471465
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The impact of quantitative easing on bank loan supply and monetary policy implementation in the euro area
Horst, Maximilian; Neyer, Ulrike - 2019
excess reserves, implying a structural liquidity surplus in the euro area banking sector. Against this background, the first … part of this paper analyses the Eurosystem's liquidity management during normal times, crisis times and times of too low in … banks operate under a structural liquidity surplus. The model shows that increasing excess reserves have no or even a …
Persistent link: https://www.econbiz.de/10012099037
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Activation of new ECB emergency program TPI not required so far
Bernoth, Kerstin; Dietz, Sara; Ider, Gökhan; Lastra, … - In: DIW weekly report : economy, politics, science : a … 12 (2022) 40, pp. 249-256
Since the beginning of 2022, monetary policy in the euro area has been gradually normalizing. As a result, bond yields of highly indebted countries such as Italy and Greece are rising more sharply than those of countries with less debt, such as Germany, a development referred to as bond market...
Persistent link: https://www.econbiz.de/10013410756
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Asymmetric macroeconomic effects of QE-induced increases in excess reserves in a monetary union
Horst, Maximilian; Neyer, Ulrike; Stempel, Daniel - 2020
countries. This paper develops a two-country New Keynesian model { calibrated to represent a high- and a low-liquidity euro area …. These dampening effects are higher in the high-liquidity country. We find similar results in response to a monetary policy …
Persistent link: https://www.econbiz.de/10012243601
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Does monetary policy impact market integration? : evidence from developed and emerging markets
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2017
This paper shows that FED policy announcements lead to a significant increase in international co-movement in the cross-section of equity and particularly sovereign CDS market. The effect is strongest for emerging markets, when the FED relaxes unconventionary monetary policies, and for countries...
Persistent link: https://www.econbiz.de/10011874674
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Does monetary policy impact international market co-movements?
Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto - 2020
We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to...
Persistent link: https://www.econbiz.de/10012213939
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The Portfolio Rebalancing Channel of Quantitative Easing
Jouvanceau, Valentin - 2016
This paper analyzes the portfolio rebalancing channel of Quantitative Easing (QE hereafter) interventions. First, we identify the effects of a QE shock using a Bayesian VAR on US data using a sign and zero restrictions identification scheme. We find that QE shocks have substantial effects on...
Persistent link: https://www.econbiz.de/10012986044