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Tracing the impact of the ECB's asset purchase programme on the yield curve

Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2020

We trace the impact of the European Central Bank (ECB) asset purchase programme (APP) on the yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by pricesensitive investors. We...

Persistent link: https://www.econbiz.de/10012424954

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; 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/10012425011

The expectations channel of climate change : implications for monetary policy

Dietrich, Alexander M.; Müller, Gernot J.; Schoenle, … - 2021

Using a representative consumer survey in the U.S., we elicit beliefs about the economic impact of climate change. Respondents perceive a high probability of costly, rare disasters in the near future due to climate change, but not much of an impact on GDP growth. Salience of rare disasters...

Persistent link: https://www.econbiz.de/10013342048

Naïve consumers and financial mistakes

Exler, Florian; Hansak, Alexander - 2021 - Preliminary and Incomplete

Financial contracts are complicated and consumers often do not grasp them in their entirety. This may lead to financial mistakes. We develop a quantitative theory of unsecured credit and equilibrium default in a market with sophisticated and naïve borrowers who sometimes misunderstand their...

Persistent link: https://www.econbiz.de/10013328047

ECB announcements and stock market volatility

Neugebauer, Frederik - 2019

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...

Persistent link: https://www.econbiz.de/10012286218

US monetary policy and the stability of currency pegs

Roevekamp, Ingmar - 2019

I study the pricing of American Depositary Receipts around FOMC meetings to identify the impact of US monetary policy on managed exchange rates. ADR investors assess the domestic central bank’s reluctance to maintain a currency peg regime if the costs of mimicking policy rate increases in the...

Persistent link: https://www.econbiz.de/10012265914

Quantifying the impact of current crisis on the convergence in EU and post-crisis scenarios

Albu, Lucian-Liviu - 2012

Certainly the current crisis is affecting seriously the convergence process in EU. Starting from the spatial distribution in EU of some fundamental development indicators before the current crisis, we try to estimate the impact of the prolonged crisis. During last years, the less developed...

Persistent link: https://www.econbiz.de/10011515567

What factors shape the liquidity levels of euro area sovereign bonds?

Jurksas, Linas - In: Open economics 1 (2018) 1, pp. 154-166

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The … values of liquidity measure and explanatory variables were calculated from the limitorder book dataset for almost five …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity …

Persistent link: https://www.econbiz.de/10011989217

Systemic instability of the interbank credit market : a contribution to a resilient financial system

Gries, Thomas; Mitschke, Alexandra - 2019

availability of liquidity. Following a shock materialization, a sequential flow adjustment process sets in. While the market …

Persistent link: https://www.econbiz.de/10012296413

Financial stability and the fed : evidence from congressional hearings

Wischnewsky, Arina; Jansen, David-Jan; Neuenkirch, Matthias - 2020 - First draft: December 2018, this version: January 2020

Persistent link: https://www.econbiz.de/10012424279

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