Although designed to support monetary policy, two crucial aspects of the central bank framework can disconnect the monetary policy transmission: banks' access to central bank deposits and Quantitative Easing (QE). We show how both hinder the monetary policy transmission through the main...

This paper investigates the impact of the European Central Bank's unconventionalmonetary policies (UMP) between 2008-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis andVAR with heteroskadasiticy based identification....

In this paper we try to uncover the determinants of the 10-year Greek bond yield in both pre- and post-crisis period that caused the unprecedented event, in the recent history, a country, member of the Euro area, not to able to tap the market. In doing so, we employ two major set of variables,...

As more and more jurisdictions transition from LIBOR-type interest rate benchmarks to new riskfree rate (RFR) benchmarks based on overnight rates, such as SOFR in the US, it is important to adapt interest rate term structure models to reflect this. In particular, overnight rates are largely...

Taking advantage of the physical settlement of Japanese government bond (JGB) futures, this paper firstly evaluates the role of central counterparties (CCPs) in the over-the-counter market during the 2008-2009 financial crisis. Our result shows that the special premium on the settlements through...

This paper employs a Zero Lower Bound (ZLB) consistent shadow-rate model to decompose UK nominal yields into expectation and term premia components. Compared to a standard affine term structure model, it performs relatively better in a ZLB setting and effectively captures the countercyclical...

Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China's gradual process of interest rate liberalization. This paper investigates the main drivers...

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...

The paper proposes new measures of unexpected monetary decisions to characterise two important dimensions of the European Central Bank's monetary policy. Our new surprise measures outperform compellingly the traditionally used monetary shocks in explaining daily variation of euro area interest...