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The Bank of England, the Federal Reserve (Fed) and the European Central Bank (ECB) have responded to the crisis with …
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This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB's Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former...
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central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock …
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We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting … which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate …
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