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Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor
Equiza, Juan; Gimeno Nogués, Ricardo; Moreno, Antonio; …
, and use it to estimate the impact of the ECB’s asset purchase programmes in the context of a no-arbitrage affine term …
Persistent link: https://www.econbiz.de/10013482139
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Evaluating central bank asset purchases in a term structure model with a forward-looking supply factor
Equiza, Juan; Gimeno, Ricardo; Moreno, Antonio; Thomas, …
, and use it to estimate the impact of the ECB’s asset purchase programmes in the context of a no-arbitrage affine term …
Persistent link: https://www.econbiz.de/10013523637
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2024
We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution and decompose yields into term premium...
Persistent link: https://www.econbiz.de/10014445509
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2024
Persistent link: https://www.econbiz.de/10014463881
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The term structure of interest rates in a heterogeneous monetary union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and...
Persistent link: https://www.econbiz.de/10013285648
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The term structure of interest rates in a heterogeneous Monetary Union
Costain, James; Nuño, Galo; Thomas, Carlos - 2022
Persistent link: https://www.econbiz.de/10013389624
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The announcements of unconventional monetary policies and sovereign bond liquidity premia
Chebbi, Tarek; Hmedat, Waleed - In: Global business & economics review 29 (2023) 3, pp. 287-315
Persistent link: https://www.econbiz.de/10014388481
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ECB monetary policy communication: does it move euro area yields?
Jurkšas, Linas; Kaminskas, Rokas - 2022
Persistent link: https://www.econbiz.de/10013193366
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Euro area government bonds : integration and fragmentation during the sovereign debt crisis
Ehrmann, Michael; Fratzscher, Marcel - 2015
European Central Bank’s (ECB’s) announcement of its Outright Monetary Transactions (OMT) program in 2012. At the same time … leads to an unequal transmission of the ECB’s monetary policy to the various countries. …
Persistent link: https://www.econbiz.de/10010519824
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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 … financial data and the consequent analysis was made on intraday and high-frequency (HF) 2015-2017 data. The ECB's APP, mainly … first three years of the PSPP implementation. Whether it was the "sovereign bond-based leg" directly affected by the ECB …
Persistent link: https://www.econbiz.de/10012201996