Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

Libor is arguably the world's most important number, with more than USD 200 trillion of derivatives, loans, securities and mortgages referencing this rate in the US markets alone. The Libor benchmark rate is being replaced with alternative reference rates (ARRs) and there is no guarantee the...

Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...

This paper studies the effects of unconventional monetary policies in the major advanced economies. We first examine the cross-border financial market impact of central bank announcements of asset purchase programmes based on event studies. We find marked effects, as expansionary balance sheet...

The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow...

According to the “Saving Glut hypothesis”, global imbalances are caused by inefficiently high level of precautionary savings in financially underdeveloped regions, where agents have limited opportunity to diversify idiosyncratic risk. This paper generalizes the approach by modeling...

This paper estimates the effects of unconventional monetary policies on consumer as well as asset price inflation, economic activity and bank lending at the hand of a VAR analysis, covering episodes of balance sheet policies of 9 countries over the last 20 years. While recent episodes of...

This paper employs a structural VAR framework with sign restrictions to estimate the effects of unconventional monetary policies of the European Central Bank since the Global Financial Crisis, mainly in their effectiveness towards bank lending. Using a variable for newly issued credit instead of...

After the global financial crisis and during the European sovereign debt crisis, bank lending to companies in the euro area slowed down dramatically, bringing the economy close to a credit crunch. It was only after the start of the European Central Bank (ECB) quantitative easing programme in...

After the global financial crisis and during the European sovereign debt crisis, bank lending to companies in the euro area slowed down dramatically bringing the economy close to a credit crunch. It was only after the start of the ECB's quantitative easing programme in early 2015 that bank...