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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010333597
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011272793
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Understanding Inflation-Indexed Bond Markets
Campbell, John Y.; Shiller, Robert J.; Viceira, Luis M. - Cowles Foundation for Research in Economics, Yale University - 2009
rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low …
Persistent link: https://www.econbiz.de/10004999551
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The German sub-national government bond market: evolution, yields and liquidity
Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008
a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …
Persistent link: https://www.econbiz.de/10005083318
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - Nationale Bank van België/Banque national de Belqique (BNB) - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10005060044
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Evolving international monetary and financial architecture and the development challenge: A liquidity preference theoretical perspective
Bibow, Jörg - 2019
's liquidity preference theory informs the analysis of the loss of policy space and widespread instabilities in emerging economies …
Persistent link: https://www.econbiz.de/10012142982
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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Flights to Safety
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10011506750
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Unconventional monetary policy and funding liquidity risk
Avernas, Adrien d'; Vandeweyer, Quentin; Darracq … - 2020
dynamics. Increasing the supply of reserves reduces liquidity risk in the traditional banking sector, but fails to reach the …This paper investigates the efficiency of various monetary policy instruments to stabilize asset prices in a liquidity … shadow banking sector. When the shadow banking sector is large, as in the US in 2008, the central bank can further stabilize …
Persistent link: https://www.econbiz.de/10012137673
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Evolving international monetary and financial architecture and the development challenge : a liquidity preference theoretical perspective
Bibow, Jörg - 2019
's liquidity preference theory informs the analysis of the loss of policy space and widespread instabilities in emerging economies …
Persistent link: https://www.econbiz.de/10012059766