While previous studies have mainly focused on the existence of a premium in the yield of green bonds, we test whether green bonds traded in the secondary market benefit from a liquidity greenium, i.e. they are more liquid compared to conventional bonds. To this end, we conduct several tests to...

Nowadays communication is acknowledged as a central bank tool to guide markets expectations. Speeches vary in topics, which are not discriminated ex-ante by text analysis. In this paper we develop a topic-weighted central bank sentiment index as a combination of machine learning and text...

Applying text analysis to speeches and press releases we construct a Sentiment Index (CBSI) of four central banks to (i) investigate spillovers generated by CBSIs on financial variables with GIRF; (ii) analyze the time-varying and statistically significant spillovers among CBs’ communication...

Central banks communication has lately become an important tool to guide expectations and its impact on the economy has been acknowledged by the literature. Nowadays central banks speeches face an increasing variety of topics, which are not discriminated by text analysis. In this paper we...

Could a Fed rate hike affect Turkish banks' stock prices? Could it lead to an increase in the exposure to interest rate risk of Turkish banks, generating negative spillover effects? By means of a new data-rich environment IVAR model with both observables and latent factors for a panel of 18...

Banks' activity is challenged by the macroeconomic, financial and regulatory environment emerging from the financial crisis. Slower economic growth, low interest rates, more stringent regulation on capital and liquidity, the need to decrease leverage for a number of banks, increased market...

We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, exchange rates) and latent factors (economic...

We assess the extent to which loan losses affect banks’ provision of credit to companies and households and examine how feedback from losses to a reduction in credit is affected by the monetary policy stance. Using a unique cross-country dataset of more than 600 banks from 32 countries, we...