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Interest rate risk and monetary policy normalisation in the euro area
Molyneux, Philip; Pancotto, Livia; Reghezza, Alessio; … - 2020
In the current low interest rate environment in the euro area there is potential for a sudden increase in interest … rates and heightened interest rate risk (IRR). By using a sample of 81 euro area banks during the period 2014Q4-2018Q1 and a … the European Central Bank (ECB) reveal greater IRR exposure. These findings advance the debate on the impact on euro area …
Persistent link: https://www.econbiz.de/10012318814
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Are Euro Interest Rates Led by Fed Announcements?
Monticini, Andrea; Vaciago, Giacomo - 2005
, the response of Euro bond rates to the FED announcements is stronger than their response to ECB announcements …
Persistent link: https://www.econbiz.de/10014070608
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time …
Persistent link: https://www.econbiz.de/10012222610
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The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time …
Persistent link: https://www.econbiz.de/10012299079
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With a little help from my friends : survey-based derivation of euro area short rate expectations at the effective lower bound
Geiger, Felix; Schupp, Fabian - 2018
-varying effective lower bound. These challenges all weigh heavily when estimating a DTSM for the euro area OIS yield curve. Against this …
Persistent link: https://www.econbiz.de/10011888340
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Monetary policy after the crisis : a joint publication with the National Bank of Poland
Gnan, Ernest (ed.); Kokoszcynski, Ryszard (ed.);  … - Conference Monetary Policy after the Crisis <2011, Warschau>; … - 2011
On 4 March 2011, SUERF – The European Money and Finance Forum and the National Bank of Poland jointly organised a conference on the theme of: "Monetary Policy after the Crisis". Following a call for papers with a large number of submissions, the scientific committee selected 9 papers, which...
Persistent link: https://www.econbiz.de/10011710723
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A Model of the Eurosystem’s Operational Framework and the Euro Overnight Interbank Market
Hauck, Achim - 2012
This paper develops a theoretical model which replicates main features of the euro overnight interbank market and the …
Persistent link: https://www.econbiz.de/10013103944
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
quantifying the cumulative decrease of spreads and by running event regressions for several Euro Area countries. Focusing on the …
Persistent link: https://www.econbiz.de/10011743065
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The effect of conventional and unconventional euro area monetary policy on macroeconomic variables
Halberstadt, Arne; Krippner, Leo - 2016
We investigate the e ect of monetary policy on European macroeconomic variables using a small-scale vector autoregression (VAR) and the "Effective Monetary Stimulus" (EMS). The EMS is a monetary policy metric obtained from yield curve data that is designed to consistently reflect the overall...
Persistent link: https://www.econbiz.de/10011578396
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The financial accelerator in the euro area : new evidence using a mixture VAR model
Bennani, Hamza; Burgard, Jan Pablo; Neuenkirch, Matthias - 2021 - This Version: July 22, 2021
We estimate a logit mixture vector autoregressive model describing monetary policy transmission in the euro area over …, this provides further evidence for a financial accelerator in the euro area. Finally, the detrimental effect of credit …
Persistent link: https://www.econbiz.de/10012320523