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International effects of a compression of euro area yield curves
Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019
In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...
Persistent link: https://www.econbiz.de/10012030981
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The true nature of the portfolio balance channel of quantitative easing policy
Jakl, Jakub - In: Národohospodářský obzor : časopis věnovaný … 19 (2019) 2, pp. 95-117
This paper analyses the effects of the ECB's Public sector purchase programme (PSPP) on portfolios of the Eurozone … sectoral data regression analysis of asset holdings of different investors in the Eurozone. This study addresses questions … the Eurozone to reallocate their funds. The series of obtained regression estimates and counterfactual analysis graphic …
Persistent link: https://www.econbiz.de/10012026893
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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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Market Timing and Performance Attribution in the ECB Reserve Management Framework
Potente, Francesco - 2016
We study the performance of a group of foreign exchange reserve managers that are responsible for investing the ECB's official reserves in US dollars, for a value of around $43 billion, using a new dataset which includes detailed portfolio holdings from 2006 to 2010. The ECB reserve managers...
Persistent link: https://www.econbiz.de/10012980829
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Evidence on the Portfolio Balance Channel of Quantitative Easing
Thornton, Daniel L. - 2012
With its interest rate instrument at the zero lower bound, the Federal Open Market Committee has turned to unconventional methods to stimulate economic growth and increase employment. Prominent among these is quantitative easing (QE) — the purchase of a large quantity of longer-term debt....
Persistent link: https://www.econbiz.de/10013105110
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Negative Monetary Policy Rates and Portfolio Rebalancing : Evidence from Credit Register Data
Bottero, Margherita - 2019
, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply---and hence the real economy---through a …
Persistent link: https://www.econbiz.de/10012889149
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Unconventional Monetary Policy, Bank Lending, and Security Holdings : The Yield-Induced Portfolio Rebalancing Channel
Paludkiewicz, Karol - 2019
Exploiting a granular dataset of banks' security holdings I assess the impact of unconventional monetary policy on bank lending and security holdings. Using a difference-in-differences regression setup and holding the security composition of each bank constant at its level in January 2014, well...
Persistent link: https://www.econbiz.de/10012898444
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How foreign participation in the Colombian local public debt market has influenced domestic financial conditions
Romero, José Vicente; Vargas H., Hernando; Cardozo, Pamela - In: Latin American journal of central banking : LAJCB 2 (2021) 4, pp. 1-24
Since 2014, participation of foreign investors in the Colombian local public bond market has increased substantially. One of the factors that has driven this result is the increased weight of Colombia in JP Morgan´s Government Bond Index. Some evidence suggests that the resulting inflows have...
Persistent link: https://www.econbiz.de/10012938901
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Unconventional Monetary Policy, Bank Lending, and Security Holdings : The Yield-Induced Portfolio Rebalancing Channel
Paludkiewicz, Karol - 2018
This paper studies the impact of unconventional monetary policy on bank lending and security holdings. I exploit granular security register data and use a difference - in-differences regression setup to provide evidence for the presence of a yield-induced portfolio rebalancing channel: Banks...
Persistent link: https://www.econbiz.de/10012914660
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Is there a portfolio rebalancing channel of QE in Latvia?
Zlobin, Andrejs - 2023
Persistent link: https://www.econbiz.de/10014391418