We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

This study investigates the evolution of central bank profits as fiscal revenue (or: seigniorage)before and in the aftermath of the global financial crisis of 2008–9, focusing on a select group ofcentral banks—namely the Bank of England, the United States Federal Reserve System, theBank of...

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

In this paper I review the development of macroprudential policy (MPP) and, in particular, its regulatory structure, its influence on the financial system, and its costs and benefits. I find that the effectiveness of MPP depends on the institutional setup in which it is implemented: often, MPP...

In this paper, I evaluate a potential cost of large-scale asset programs, also known as quantitative easing (QE). Specifically, I assess the effect of ongoing Federal Reserve mortgage-backed security (MBS) purchases on liquidity conditions in the MBS market. Considering several indicators of...

We find evidence that the runs on banks and trust companies in the Panic of 1907 were linked to the Bank of England's contractionary monetary policy actions taken in 1906 and 1907 through the medium of copper prices. Results from our VAR models and copper stockpile data support our argument that...

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...

This paper compares monetary system performance in terms of price level stability for the ideal types constrained discretion, rules and automaticity. A proprietary model for annual US gold output dependent on macro-economic factors is developed, to model automaticity under a gold standard with...

The main result of the quick reactions of the Federal Reserve (the Fed) and the European Central Bank (ECB) to the Covid-19 crisis are that more than 20% of their public debt is now held by these central banks and that the balance sheet of the ECB is now near 50% of GDP (33% for the Fed). Two...

This paper investigates the effect of ECB asset purchases on inflation expectations in the euro area, as measured by the ECB Survey of Professional Forecasters. To identify the effects on individual expectations we adopt a panel approach, where the Eurosystem Asset Purchase Programme (APP)...