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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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The effects of quantitative easing announcements on the mortgage market: An event study approach
Wang, Gang - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-30
) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE …-year mortgage rate, the 30-year Treasury rate and the spread between them. Announcements suggesting the start of a new … round of QE reduced the mortgage rate tremendously, while the effects of further news diminished. Announcements of an …
Persistent link: https://www.econbiz.de/10013200187
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Fed QE and bank lending behaviour : a heterogeneity analysis of asset purchases
Grimaldi, Marianna; Kapoor, Supriya - 2023
Though unconventional monetary policy is still new, already there is a conventional wisdom that the impact of monetary policy is related to the composition of the asset mix. This turns out to be incomplete and potentially misleading. In this paper, we find more complex effects on bank lending...
Persistent link: https://www.econbiz.de/10014393221
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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/10011641961
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Conservatorship, Quantitative Easing, and Mortgage Spreads : A New Multi-Equation Score-Driven Model of Policy Actions
Blazsek, Szabolcs; Kobor, Adam; Blazsek, Virág Ilona - 2021
This paper studies how United States (US) policy actions impacted mortgage-backed securities (MBS) investors and … mortgage borrowers during the subprime mortgage crisis of 2007 to 2010. The effects of the following policy actions on MBS … spreads and mortgage lending spreads are studied: (i) US Government conservatorship of Fannie Mae and Freddie Mac; (ii) US …
Persistent link: https://www.econbiz.de/10013222373
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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and...
Persistent link: https://www.econbiz.de/10014330976
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Cash is king - effects of ECB's conventional and unconventional measures
Baumgärtner, Martin; Klose, Jens - 2019
In this paper we distinguish the responses of conventional and unconventional monetary policy measures on macroeconomic variables, using a high frequency data set which measures the impact of the ECB's monetary policy decisions. For the period 2002:01 to 2019:06 we show that unconventional and...
Persistent link: https://www.econbiz.de/10012099289
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Communication of monetary policy in unconventional times
Coenen, Günter; Ehrmann, Michael; Gaballo, Gaetano; … - 2017
Monetary policy communication is particularly important during unconventional times, because high uncertainty about the economy, the introduction of new policy tools and possible limits to the central bank's toolkit could hamper the predictability of policy actions. We study how monetary policy...
Persistent link: https://www.econbiz.de/10011755761
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The ser spread under the ECB quantitative easing
Jakl, Jakub - In: European financial and accounting journal : EFAJ 14 (2019) 2, pp. 43-70
This paper discusses the effects of the ECB's asset purchase programmes (APPs) on the SER spread, while the main focus is given to detail intraday analysis of implementation of the Public Sector Purchase Programme (PSPP). The SER spread is perceived as an important indicator of interbank trust...
Persistent link: https://www.econbiz.de/10012201996
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Regional heterogeneity and monetary policy
Beraja, Martin; Fuster, Andreas; Hurst, Erik; Vavra, Joseph - 2015
.S. micro data to explore the extent to which mortgage activity differed across local areas in response to the first round of … Quantitative Easing (QE1), announced in November 2008. We document that QE1 increased both mortgage activity and real spending but …
Persistent link: https://www.econbiz.de/10010528702