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Optimal Monetary Noise in an Economy with Bayesian Consumers and Risk-Averse Investors
Teng, Jimmy - 2013
Autonomous demand shock affects consumption spending. Variation in consumption spending contributes to the volatility in aggregate demand. As the investor is risk averse, volatility of aggregate demand reduces investment. Government injects monetary noise to reduce the volatility in aggregate...
Persistent link: https://www.econbiz.de/10014158665
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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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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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Monetary policy trade-offs in a portfolio model with endogenous asset supply
Schüder, Stefan - 2011
This paper develops an open economy portfolio balance model with endogenous asset supply. Domestic producers finance capital goods through credit and bonds in accordance with debt capital costs as well as through equity assets. Private households hold a portfolio of domestic and foreign assets,...
Persistent link: https://www.econbiz.de/10009161358
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The Effects of Government Bond Purchases on Leverage Constraints of Banks and Non-Financial Firms
Kuehl, Michael - 2016
This paper investigates how government bond purchases affect leverage-constrained banks and non-financial firms by utilising a stochastic general equilibrium model. My results indicate that government bond purchases not only reduce non-financial firms' borrowing costs, amplified through a...
Persistent link: https://www.econbiz.de/10012981484
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The effects of government bond purchases on leverage constraints of banks and non-financial firms
Kühl, Michael - 2016
This paper investigates how government bond purchases affect leverage-constrained banks and non-financial firms by utilising a stochastic general equilibrium model. My results indicate that government bond purchases not only reduce non-financial firms' borrowing costs, amplified through a...
Persistent link: https://www.econbiz.de/10011541061
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Scaling, unwinding and greening QE in a calibrated portfolio balance model
Riedler, Jesper; Koziol, Tina - 2021
We develop a portfolio balance model to analyze the impact of euro area quantitative easing (QE) on asset yields. Our model features two countries each populated by two agents representing their respective banking and mututal fund sectors. Agents, which differ in their preferences for assets,...
Persistent link: https://www.econbiz.de/10012671882
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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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Monetary Policy During Liquidity Dry-Ups
Fiesel, Stefan - 2017
Kingdom, and the Eurozone. The central banks of these countries are, with a different degree, able to soften the economic … Kingdom and the Eurozone economy …
Persistent link: https://www.econbiz.de/10012949651
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Financial globalization and monetary policy
Devereux, Michael B. (contributor);  … - 2008
Recent data show substantial increases in the size of gross external asset and liabilitypositions. The implications of these developments for optimal conduct of monetarypolicy are analyzed in a standard open economy model which is augmented to allowfor endogenous portfolio choice. The model...
Persistent link: https://www.econbiz.de/10003770964