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Low Frequency Effects of Macroeconomic News on Government Bond Yields
Altavilla, Carlo - 2017
In this study, we analyze the reaction of the U.S. Treasury bond market to innovations in macroeconomic fundamentals. We identify these innovations based on macroeconomic news, which are defined as differences between the actual releases and market expectations. We find that that macroeconomic...
Persistent link: https://www.econbiz.de/10012972912
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The Effect of Eurosystem Asset Purchase Programmes on Euro Area Sovereign Bond Yields During the Covid-19 Pandemic
Hondroyiannis, G.; Papaoikonomou, Dimitrios - 2022
We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09...
Persistent link: https://www.econbiz.de/10013492320
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Covid-19, sovereign risk and monetary policy : evidence from the European Monetary Union
Karaman, Seçil Yıldırım - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 99-107
This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...
Persistent link: https://www.econbiz.de/10013407190
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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …
Persistent link: https://www.econbiz.de/10003864095
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The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
Halberstadt, Arne; Krippner, Leo - 2016
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
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The collateral policy of central banks : an analysis focusing on the eurosystem
Weber, Christopher - 2016
Königreich oder Japan, wesentlich unterscheiden. Im Ergebnis kann für die Eurozone auf eine Umverteilung zugunsten der …
Persistent link: https://www.econbiz.de/10011741966
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Balance sheet interlinkages and macro-financial risk analysis in the Euro area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …
Persistent link: https://www.econbiz.de/10003969268
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Castren, Olli - 2009
leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system … financial intermediaries playing a key role in the processes. High financial leverage and high asset volatility are found to …
Persistent link: https://www.econbiz.de/10013153431
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Macroprudential policy in a monetary union with cross-border banking
Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; … - 2019
We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain),...
Persistent link: https://www.econbiz.de/10011996735
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Future of the Economic and Monetary Union
Gortsos, Christos V. - 2022
The present paper contains a brief presentation and analysis, in a historical perspective through the lens of the recent major crises, of the legal framework governing the European Economic and Monetary Union (EMU), as well as current developments and challenges ahead. It is structured in three...
Persistent link: https://www.econbiz.de/10014077291