Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the “news” or “surprise” in the released data for annual M3 growth and the move in the...

This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB's introductory statements, we find that communication affects the term structure...

This paper analyzes European financial markets' comprehension and interpretation of ECB communication signals. By applying a novel indicator developed by Berger et al. (2006), that quantifies the contents of the ECB's introductory statements, we find that communication affects the term structure...

After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

We estimate a macro-finance yield curve model for both the nominal and real forward curve for the UK from 1993 to 2008. Our model is able to accommodate a number of key macroeconomic variables and allows us to estimate the instantaneous response of the yield curve and so gauge the impact of...

After outlining some of the monetary developments associated with Quantitative Easing (QE), we measure the impact of the UK's initial 2009-10 QE Programme on bonds and other assets. First, we use a macro-finance yield curve both to create a counterfactual path for bond yields and to estimate the...

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...

This paper explores the effects of non-standard monetary policies on international yield relationships. Based on a descriptive analysis of international long-term yields, we find evidence that long-term rates have followed a global downward trend prior to as well as during the financial crisis....

In this paper I propose a regime switching approach to explain why the US nominal yield curve has been on average steeper since the mid-1980's than during the Great Inflation of the 1970's. I show that, once the possibility of regime switches in the short-rate process is incorporated into...