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Negative Interest Rate Policy and the Yield Curve

Wu, Jing Cynthia; Xia, Fan Dora - 2021

We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer-horizon future monetary policy...

Persistent link: https://www.econbiz.de/10013232446

Negative Interest Rate Policy and the Yield Curve

Wu, Jing Cynthia - 2018

Persistent link: https://www.econbiz.de/10012480832

Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2019

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven diﬀerent maturities. In identifying this impact, it adopts a novel econometric...

Persistent link: https://www.econbiz.de/10012147209

The macroeconomic effects of quantitative easing in the Euro area : evidence from an estimated DSGE model

Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas - 2018

sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in …

Persistent link: https://www.econbiz.de/10011804879

Euro area monetary policy effects : does the shape of the yield curve matter?

Odendahl, Florens; Pagliari, Maria Sole; Penalver, Adrian; … - In: Journal of monetary economics 147 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015071534

Interest rate transmission and volatility transmission along the yield curve

Avouyi-Dovi, Sanvi; Jondeau, Eric - 1999

Persistent link: https://www.econbiz.de/10001363705

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Inflation dynamics and time-varying volatility : new evidence and an Ss interpretation

Vavra, Joseph S. - 2013

Persistent link: https://www.econbiz.de/10009766782

Inflation dynamics and time-varying volatility : new evidence and an SS interpretation

Vavra, Joseph - In: The quarterly journal of economics 129 (2014) 1, pp. 215-258

Persistent link: https://www.econbiz.de/10010365099

Time-varying business volatility, price setting, and the real effects of monetary policy

Bachmann, Ruediger; Born, Benjamin; Elstner, Steffen; … - 2013

Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy … Climate Survey the impact of idiosyncratic volatility on the price setting behavior of firms. In a second step, we use a … calibrated New Keynesian business cycle model to gauge the effects of time-varying volatility on the transmission of monetary …

Persistent link: https://www.econbiz.de/10009767295