Similar Search Results

Motto, Roberto; Özen, Kadir - 2022

We identify a novel dimension of monetary policy from high-frequency changes in asset prices around ECB policy events, orthogonal to surprises extracted from risk-free interest rates. We find that it is present in policy events that were interpreted by real-time market commentaries as containing...

Persistent link: https://www.econbiz.de/10012818740

The effects of the ECB's pandemic-related monetary policy measures

Nelimarkka, Jaakko; Laine, Olli-Matti - 2021

We assess the macroeconomic impact of pandemic-related monetary policy measures of the ECB. Conditioning on counterfactual interest rate paths that would have materialised in the absence of the policies, the macroeconomic effects are measured using structural vector autoregressions. In the...

Persistent link: https://www.econbiz.de/10012622376

The financial market effects of the ECB's balance sheet policies

Lewis, Vivien; Roth, Markus - 2015

Persistent link: https://www.econbiz.de/10011705372

Better off without the euro? : structural VAR assessment of European monetary policy

Fritsche, Jan Philipp; Harms, Patrick Christian - 2020

Modern OCA theory has developed different conclusions on when forming a currency union is beneficial. An important pragmatic question in this context is: Did delegating monetary policy to the ECB increase stress in the individual euro area countries? An SVAR analysis reveals that monetary stress...

Persistent link: https://www.econbiz.de/10012301359

Asymmetric shocks in a currency union : the role of central bank collateral policy

Koulischer, François - 2015

Persistent link: https://www.econbiz.de/10011305214

News shock spillovers : how the euro area responds to expected fed policy

Rudel, Paul; Tillmann, Peter - 2024

monetary policy news shock based on a VAR model. A monetary news shock is equivalent to new information about the Fed's future … monetary policy becoming available today. One example of a monetary news shock is a forward guidance announcement, where the … shocks. We estimate the response of the euro area to an expected future policy tightening of the Fed. The U.S. news shock …

Persistent link: https://www.econbiz.de/10014637094

EMU : ready or not?

Obstfeld, Maurice - 1998

Persistent link: https://www.econbiz.de/10000664221

A non-standard monetary policy shock : the ECB’s 3-year LTROs and the shift in credit supply

Darracq Pariès, Matthieu; De Santis, Roberto A. - 2013

Persistent link: https://www.econbiz.de/10009765558

Measuring monetary policy asymmetries across EMU countries

Altavilla, Carlo - 2000

Persistent link: https://www.econbiz.de/10001522478

Modeling extreme events: time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020

We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...

Persistent link: https://www.econbiz.de/10012385032

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