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A fistful of dollars : transmission of global funding shocks to EMs
Kumar, Shekhar Hari; Mathur, Aakriti - 2020
interbank markets. Money markets enable banks to engage in risk-sharing against liquidity shocks and are sensitive to global … liquidity shocks to EMs as compared to benchmark short-term bond yields. Next, we disentangle the transmission into its various … of macro-prudential policy like reserve requirements can help alleviate liquidity shocks to the EM banking system …
Persistent link: https://www.econbiz.de/10012171269
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Unconventional monetary policy, leverage & default dynamics
Palombo, Edoardo - 2020
The objective of this paper to investigate the effectiveness of credit easing policy in mitigating the economic fallout from a financial recession using a model that can account for the observed default and leverage dynamics during the financial crisis of 2007. A general equilibrium model is...
Persistent link: https://www.econbiz.de/10012243296
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Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects
Lewis, Daniel J. - 2019
I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...
Persistent link: https://www.econbiz.de/10012022250
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Quantitative easing in the Euro Area
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/10011641961
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The macroeconomic impact of the ECB's expanded asset purchase programme (APP)
Gambetti, Luca; Musso, Alberto - 2017
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...
Persistent link: https://www.econbiz.de/10011659350
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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
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Unconventional monetary policy, bank lending, and security holdings : the yield-induced portfolio rebalancing channel
Paludkiewicz, Karol - 2018
data on bank-specific TLTRO uptakes, my results do not seem to be driven by alternative, liquidity-driven transmission …
Persistent link: https://www.econbiz.de/10011874277
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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How does monetary policy affect income and wealth inequality? : evidence from quantitative easing in the euro area
Lenza, Michele; Slacalek, Jirka - 2018
This paper studies the effects of quantitative easing on income and wealth of individual euro area households. The aggregate effects of quantitative easing are estimated in a multi-country VAR model of the four largest euro area countries, in which key variables affecting household income and...
Persistent link: https://www.econbiz.de/10011921470
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A portfolio-balance approach to the nominal term structure
King, Thomas B. - 2013
Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a "portfolio balance" mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...
Persistent link: https://www.econbiz.de/10010211019