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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and … Markets Programme and the Outright Monetary Transactions are found to be effective in affecting the perceived sovereign risk …
Persistent link: https://www.econbiz.de/10009783711
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Spillovers of US unconventional monetary policy : quantitative easing, spreads, and international financial markets
Yildirim, Zekeriya; Ivrendi, Mehmet - In: Financial innovation : FIN 7 (2021), pp. 1-38
-479, 2010) argued that the QE measures primarily aim to reduce US interest rate spreads, such as term and risk premiums … policies significantly affect financial conditions in emerging and advanced countries by altering the risk-taking behavior of … investors. This result suggests that the risk-taking channel plays an important role in transmitting the effects of these …
Persistent link: https://www.econbiz.de/10012798677
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The Effectiveness of the ECB's Asset Purchase Programs of 2009 to 2012
Tavlas, G. S.; Gibson, Heather D.; Hall, Stephen G. - 2022
can reduce a country’s default-risk spreads …
Persistent link: https://www.econbiz.de/10013492698
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Sovereign credit default swaps and U.S. economic policy uncertainty after the global financial crisis
Inoguchi, Masahiro - In: Global Financial Flows in the Pre- and Post-global …, (pp. 113-141). 2022
Persistent link: https://www.econbiz.de/10013448159
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Macroeconomic effects from sovereign risk vs. Knightian uncertainty
Staffa, Ruben Marek - Leibniz-Institut für Wirtschaftsforschung Halle - 2023
This paper compares macroeconomic effects of Knightian uncertainty and risk using policy shocks for the case of Italy … measures for uncertainty and risk. The identification exploits the quasi-pessimistic behavior under ambiguity-aversion and the …-ask spread. In contrast, a pure change in risk shifts the risk-compensating discount factor which is well approximated by the …
Persistent link: https://www.econbiz.de/10014467072
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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
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The Impact of Oil Price Shocks on Turkish Sovereign Yield Curve
Cepni, Oguzhan - 2020
shock identification scheme of Ready (2018) is modified by using geopolitical oil price risk index in order to capture the … changes in the risk perceptions of oil markets driven by geopolitical tensions such as terrorism, conflicts, and sanctions …
Persistent link: https://www.econbiz.de/10012835709
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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
Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and … in the regressions. The results of the empirical analysis suggest that Covid-19 shock increased the sovereign risk in the … negative impact of Covid-19 on the sovereign risk. …
Persistent link: https://www.econbiz.de/10013407190
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Risks in macroeconomic fundamentals and excess bond returns predictability
De Rezende, Rafael B. - 2015 - February 2015
I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …
Persistent link: https://www.econbiz.de/10010478516
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Yield Curve Volatility and Macroeconomic Risk
Hansen, Anne Lundgaard - 2021
This paper characterizes time variation in the link between macroeconomic risk and variation in the yield curve. Based …
Persistent link: https://www.econbiz.de/10013314107