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Information effects of euro area monetary policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

Persistent link: https://www.econbiz.de/10011972952

International effects of euro area versus US policy uncertainty : a FAVAR approach

Belke, Ansgar; Osowski, Thomas - 2017

Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we estimate a large-scale FAVAR model for 18 OECD member countries. We quantify the global effects of economic policy uncertainty shocks and check whether the signs, the magnitude, and the...

Persistent link: https://www.econbiz.de/10012110907

The euro crisis and economic growth : a novel counterfactual approach

Terzi, Alessio - 2019 - This Draft: 25 June 2019

warranted. To make this claim, this paper uses a Propensity Score Matching Model to produce counterfactuals for the Eurozone … more in the Eurozone periphery than in the standard counterfactual scenario. These results are not dictated by any specific … Eurozone’s specificity, which is instead to be traced back to a sharper-than-expected contraction in investment and fiscal …

Persistent link: https://www.econbiz.de/10012033212

Did the Basel process of capital regulation enhance the resiliency of European Banks?

Gehrig, Thomas P.; Iannino, Maria Chiara - 2018

Persistent link: https://www.econbiz.de/10011914259

Same policy, different effects? : evidence on the output effects of monetary policy on selected EA countries after the introduction of the euro

Schwarzbauer, Wolfgang - In: Essays on financial structure and monetary transmission …, (pp. 17-30). 2011

Die Einführung des Euro stellt eine wesentliche Änderung der geldpolitischen Rahmenbedingungen einer Anzahl europäischer Ökonomien dar. Dies bewirkt eine Veränderung des Verhaltens von Wirtschaftssubjekten. Daraus ergeben sich zwei Fragen: Wie rasch passen sich Wirtschaftssubjekte in diesen...

Persistent link: https://www.econbiz.de/10011857502

The effect of conventional and unconventional euro area monetary policy on macroeconomic variables

Halberstadt, Arne; Krippner, Leo - 2016

We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...

Persistent link: https://www.econbiz.de/10011578396

Uncertainty and the real effects of monetary policy shocks in the Euro area

Pellegrino, Giovanni - In: Economics letters 162 (2018), pp. 177-181

Persistent link: https://www.econbiz.de/10011939831

Exchange rate modeling under unconventional monetary policy on a European panel sample

Kiss, Gábor Dávid; Mészáros, Mercédesz - In: European financial and accounting journal : EFAJ 14 (2019) 3, pp. 5-24

Following the latest subprime crisis, central banks introduced several unconventional instruments which had spillover effects on foreign exchange rates. The aim of our paper is to explore whether the use of zero lower bound (ZLB) and unconventional instruments has an impact on the changes in...

Persistent link: https://www.econbiz.de/10012202003

It's not austerity. Or is it? : assessing the effect of austerity on growth in the European Union, 2010-15

Fragetta, Matteo; Tamborini, Roberto - In: International review of economics & finance : IREF 62 (2019), pp. 196-212

Persistent link: https://www.econbiz.de/10012205538

The effectiveness of unconventional monetary policy announcements in the euro area : an event and econometric study

Ambler, Steve; Rumler, Fabio - In: Journal of international money and finance 94 (2019), pp. 48-61

Persistent link: https://www.econbiz.de/10012135141