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Banking and Sovereign Risk in the euro area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010
We study the determinants of bond spreads of euro area sovereigns since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. The aggregate risk factor also plays an important role for sovereign risk through its interaction with the size and structure...
Persistent link: https://www.econbiz.de/10010277259
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian; Watzka, Sebasitan - 2017
We examine the effects of the QE programme started by the ECB in 2015. Studying the short-term reaction of bond markets, we try to quantify different asset price channels such as the portfolio rebalance channel by running event regressions for several Euro Area countries. Our analysis suggests...
Persistent link: https://www.econbiz.de/10011712648
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin W; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012287834
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With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound
Schupp, Fabian; Geiger, Felix - 2018
The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying effective lower bound. These challenges all weigh heavily when...
Persistent link: https://www.econbiz.de/10011892034
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Sovereign Stress, Banking Stress, and Corporate Financing Costs in the Euro Area
Holtemöller, Oliver - 2016
In this paper, we employ firm-level data to analyze to what extent financing conditions of non-financial corporations in the Euro Area depend on country-specific factors, in particular the respective country's government bond yield and the share of non-performing loans to the corporate sector....
Persistent link: https://www.econbiz.de/10011527947
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Analysis of Brazilian exports to Eastern Asian Countries - time period from 1980 to 2008
Chang, Mateus; Bacha, Carlos - 2010
.19% of Brazilian exports in 2008 and Japan bought 0.8%, however, Japan and China have become important buyers of some … to stimulate its trade with Eastern Asian countries; (e) more than half of Brazil's exports to Japan and China are … exported to Japan and China show regional differences among these two buyers and the results help to discuss policies that can …
Persistent link: https://www.econbiz.de/10011332415
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ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds
Trebesch, Christoph; Zettelmeyer, Jeromin - 2015
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable twist of the Greek yield curve....
Persistent link: https://www.econbiz.de/10011301405
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Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB
Cycon, Lisa; Koetter, Michael - 2015
Based on detailed loan portfolio data of a top-20 universal bank in Germany, we investigate the effect of unconventional monetary policy on corporate loan pricing. We can decompose corporate lending rates, thereby shedding light on intra-bank transmission of monetary policy. We identify policy...
Persistent link: https://www.econbiz.de/10011301427
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Quantitative Easing and Tapering Uncertainty: Evidence from Twitter
Tillmann, Peter; Meinusch, Annette - 2015
In this paper we analyze the effects of changes in peoples' beliefs about the timing of the exit from Quantitative Easing ("tapering") on asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application, covering the entire Twitter volume on...
Persistent link: https://www.econbiz.de/10011301502
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The interest rate pass-through in the euro area during the sovereign debt crisis
von Borstel, Julia; Eickmeier, Sandra; Krippner, Leo - 2015
We investigate the pass-through of monetary policy to bank lending rates in the euro area before and during the sovereign debt crisis. We make the following contributions. First, we use a factor-augmented vector autoregression, which allows us to assess the responses of a large number of...
Persistent link: https://www.econbiz.de/10011301631