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Capital inflows and euro area long-term interest rates

Carvalho, Daniel (contributor); Fidora, Michael (contributor) - European Central Bank - 2015

similar impact of foreign bond buying on US Treasury yields. These results are relevant both from a euro area and a global … perspective, as they show that the phenomenon of lower long-term interest rates due to foreign bond buying is not exclusive to the …

Persistent link: https://www.econbiz.de/10015299105

ECB monetary policy surprises : identification through cojumps in interest rates; N°1674, May 2014

Winkelmann, Lars (contributor); Bibinger, Markus (contributor) - European Central Bank - 2014

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

Persistent link: https://www.econbiz.de/10015301874

Term premia implications of macroeconomic regime changes : N°1694, July 2014

Carboni, Giacomo (contributor) - European Central Bank - 2014

Term premia are shown to provide crucial information for discriminating among alternative sources of change in the economy, and namely shifts in the variance of structural shocks and in monetary policy. These sources have been identified as competing explanations for time-varying features of...

Persistent link: https://www.econbiz.de/10015301916

Anchoring the yield curve using survey expectations : N° 1632 / February 2014

Altavilla, Carlo (contributor); … - European Central Bank - 2014

The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have underperformed since the early 2000s. On the other hand, survey expectations are accurate predictors of yields, but only...

Persistent link: https://www.econbiz.de/10015302483

The determinants of sovereign bond yield spreads in the EMU

Afonso, António (contributor); … - European Central Bank - 2015

We use a panel of euro area countries to assess the determinants of long-term sovereign bond yield spreads over the … period 1999.01-2010.12. We find that, on top of the fundamentals themselves, changes in the sensitivity of bond prices to …

Persistent link: https://www.econbiz.de/10015298905

Interest rates, money, and banks in an estimated euro area model

Christoffel, Kai (contributor); … - European Central Bank - 2014

This paper examines monetary transmission and macroeconomic shocks in a medium scale macroeconomic model with costly banking estimated for euro area data. In addition to data on measures of real activity and prices, we include data on bank loans, loan rates, and reserves for the estimation of...

Persistent link: https://www.econbiz.de/10015301278

How do financial institutions forecast sovereign spreads? : N°1750, December 2014

Cimadomo, Jacopo (contributor); Claeys, Peter (contributor); … - European Central Bank - 2014

This paper assesses how financial market participants form their expectations about future government bond spreads … expected bond yield differential over a benchmark German 10-year bond. Our main result is that a projected improvement of the … affect expectations of market experts, reducing the pressure on sovereign bond markets. …

Persistent link: https://www.econbiz.de/10015301808

The financial and macroeconomic effects of OMT announcements : N°1707, August 2014

Altavilla, Carlo (contributor); … - European Central Bank - 2014

government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and … France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements …

Persistent link: https://www.econbiz.de/10015301819

Credit spreads and the links between the financial and real sectors in a small open economy : the case of the Czech Republic; N°1730, September 2014

Konečný, Tomáš. (contributor); … - European Central Bank - 2014

Various approaches have been employed to explore the possibility of non-linear feedback between the real and financial sector. The present study focuses on the impact of real shocks on selected financial sector indicators, and the responses of the real economy to impulses emanating from the...

Persistent link: https://www.econbiz.de/10015301974

The market liquidity of interest rate swaps

Boudiaf, Ismael Alexander (contributor); … - European Central Bank - 2024

monetary policy, market-wide fixed income liquidity, EURIBOR rate volatility and Dealer behaviour. Indicators for generic …

Persistent link: https://www.econbiz.de/10015320846