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The Social Fabric Matrix Approach to Central Bank Operations- An Application to the Federal Reserve and the Recent Financial Crisis
Fullwiler, Scott - 2015
Reserve's (Fed's) daily operations and the recent financial crisis. The SFM of the Fed's operations presents the primary … significant influences on the actions of authorizing and processing institutions in the Fed's operations. From the normative … systems analysis, three types of time- intraday, maintenance period, and seasonal- in the Fed's daily operations can be …
Persistent link: https://www.econbiz.de/10013037851
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Changes in Prudential Policy Instruments -- A New Cross-Country Database
Cerutti, Eugenio - 2017
This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and microprudential objectives. The database coverage is broad, spanning 64 countries, and with quarterly...
Persistent link: https://www.econbiz.de/10013210413
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011743065
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Asset purchase programmes and financial markets: lessons from the euro area
Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto - 2015
We evaluate the effects on asset prices of the ECB asset purchase programme (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...
Persistent link: https://www.econbiz.de/10011605909
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Quantitative easing in the Euro Area
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011662696
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011777574
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The Impact of Primary Bond Dealers' Maturity Choice on Repo Market Interest Rates
Sokolov, Vladimir - 2011
rates relative to overnight repo rates. Using NY Fed data, I construct a factor measuring primary dealers' net financing in … inclusion of a number of control variables, such as the Cochrane-Piazzesi factor, change in fed funds futures prices and a … factor measuring dealers' overbidding at Fed's repo auctions …
Persistent link: https://www.econbiz.de/10013128343
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The Impact of Maturity Financing Choices Made by Primary Bond Dealers on Repo Market Rates
Sokolov, Vladimir - 2011
rates relative to overnight rates. Using NY Fed data, I construct a factor measuring primary dealers' net financing in the …-Piazzesi factor, change in fed funds futures prices and a measure of dealers' overbidding at Fed's repo auctions …
Persistent link: https://www.econbiz.de/10013120483
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Scarcity and Spotlight Effects on Term Structure : Quantitative Easing in Japan
Pelizzon, Loriana - 2017
We investigate the determinants of the term structures of bond yield and market liquidity in the context of the Quantitative Easing (QE) programs implemented by the Bank of Japan. Between 2011 and 2016, we find that Japanese government bonds (JGBs) show an improvement in liquidity through the...
Persistent link: https://www.econbiz.de/10012955057
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Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News
De Santis, Roberto A. - 2016
Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to...
Persistent link: https://www.econbiz.de/10012984575