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The Effect of Monetary Policy on Credit Spreads

Cenesizoglu, Tolga - 2014

the business cycle. We use futures contracts to distinguish between expected and unexpected changes in the Fed funds …) with respect to those with high credit ratings following an unexpected increase (decrease) in the Fed funds target rate …

Persistent link: https://www.econbiz.de/10013070170

Asset-liability management with ultra-low interest rates

Grossman, Richard S.; Molyneux, Philip; Lambert, Frederic; … - Conference on Asset-Liability Management with Ultra-Low …; … - 2015

On 11 March 2015, SUERF jointly organised a conference with the Oesterreichische Nationalbank and the Austrian Society for Bank Research (Bankwissenschaftliche Gesellschaft - BWG). The present SUERF Study 2015/2 includes a selection of papers based on the authors' contributions to the Vienna...

Persistent link: https://www.econbiz.de/10011413495

Monetary policy disconnect

Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah - 2020 - This version: December 11, 2020

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...

Persistent link: https://www.econbiz.de/10012387237

Does the Fed Control Interest Rates?

Fama, Eugene F. - 2020

My paper, “Does the Fed control interest rates?” is in the 2013 Review of Asset Pricing Studies (Volume 3, pp. 180 …-199). The paper finds that the Fed controls the Federal Funds (FF) rate (the overnight rate on interbank borrowing of reserves …

Persistent link: https://www.econbiz.de/10012857232

Quantitative easing in the euro area : an event study approach

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011743065

Quantitative easing in the Euro Area

Urbschat, Florian; Watzka, Sebastian - 2017

Persistent link: https://www.econbiz.de/10011662696

Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply

D’Amico, Stefania; King, Thomas B. - In: Journal of Financial Economics 108 (2013) 2, pp. 425-448

The Federal Reserve’s 2009 program to purchase $300 billion of US Treasury securities represented an unprecedented intervention in the Treasury market and provides a natural experiment with the potential to shed light on the price elasticities of Treasuries and theories of supply effects in...

Persistent link: https://www.econbiz.de/10011039218

Asset purchase programmes and financial markets: lessons from the euro area

Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto - 2015

We evaluate the effects on asset prices of the ECB asset purchase programme (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...

Persistent link: https://www.econbiz.de/10011605909

Scarcity and Spotlight Effects on Term Structure : Quantitative Easing in Japan

Pelizzon, Loriana - 2017

We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...

Persistent link: https://www.econbiz.de/10012955057

The Impact of Primary Bond Dealers' Maturity Choice on Repo Market Interest Rates

Sokolov, Vladimir - 2011

rates relative to overnight repo rates. Using NY Fed data, I construct a factor measuring primary dealers' net financing in … inclusion of a number of control variables, such as the Cochrane-Piazzesi factor, change in fed funds futures prices and a … factor measuring dealers' overbidding at Fed's repo auctions …

Persistent link: https://www.econbiz.de/10013128343