Narrow search
Showing 1 - 10 of 82,709
Cover Image
Quantitative easing and the loan to collateral value ratio
Damjanovic, Tatiana; Girdėnas, Šarūnas - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 146-164
We study optimal monetary policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house...
Persistent link: https://www.econbiz.de/10011051939
Cover Image
Quantitative Easing and the Loan to Collateral Value Ratio
Damjanovic, Tatiana; Girdenas, Sarunas - Centre for Dynamic Macroeconomic Analysis, University … - 2014
We study monetary optimal policy in a New Keynesian model at the zero bound interest rate where households use cash alongside house equity borrowing to conduct transactions. The amount of borrowing is limited by a collateral constraint. When either the loan to value ratio declines or house...
Persistent link: https://www.econbiz.de/10011185157
Cover Image
Evaluating Quantitative Easing: A DSGE Approach
Falagiarda, Matteo - Volkswirtschaftliche Fakultät, … - 2013
This paper develops a simple Dynamic Stochastic General Equilibrium (DSGE) model capable of evaluating the effect of large purchases of treasuries by central banks. The model exhibits imperfect asset substitutability between government bonds of different maturities and a feedback from the term...
Persistent link: https://www.econbiz.de/10011111642
Cover Image
Liquidity and market efficiency : alive and well?
Liikanen, Erkki; Jylhä, Petri; Pennacchi, George G.; … - Joint Conference with the Bank of Finland in Helsinki …; … - 2015
liquidity and market efficiency. The one-day program consisted of an opening speech, six presentations, including three keynotes …
Persistent link: https://www.econbiz.de/10011414459
Cover Image
A fistful of dollars : transmission of global funding shocks to EMs
Kumar, Shekhar Hari; Mathur, Aakriti - 2020
interbank markets. Money markets enable banks to engage in risk-sharing against liquidity shocks and are sensitive to global … liquidity shocks to EMs as compared to benchmark short-term bond yields. Next, we disentangle the transmission into its various … of macro-prudential policy like reserve requirements can help alleviate liquidity shocks to the EM banking system …
Persistent link: https://www.econbiz.de/10012171269
Cover Image
Unconventional monetary policy, leverage & default dynamics
Palombo, Edoardo - 2020
The objective of this paper to investigate the effectiveness of credit easing policy in mitigating the economic fallout from a financial recession using a model that can account for the observed default and leverage dynamics during the financial crisis of 2007. A general equilibrium model is...
Persistent link: https://www.econbiz.de/10012243296
Cover Image
Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects
Lewis, Daniel J. - 2019
I propose to identify announcement-specific decompositions of asset price changes into monetary policy shocks based on intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state of the economy across announcements. I compute...
Persistent link: https://www.econbiz.de/10012022250
Cover Image
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/10011641961
Cover Image
The macroeconomic impact of the ECB's expanded asset purchase programme (APP)
Gambetti, Luca; Musso, Alberto - 2017
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...
Persistent link: https://www.econbiz.de/10011659350
Cover Image
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