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Quantitative Easing in the Euro Area - An Event Study Approach

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011777574

Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure

Nocera, Andrea; Pesaran, M. Hashem - 2022

This paper investigates the short- and long-term impacts of the Federal Reserve’s large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry...

Persistent link: https://www.econbiz.de/10013266660

Causal Effects of the Fed's Large-Scale Asset Purchases on Firms' Capital Structure

Nocera, Andrea; Pesaran, M. Hashem - 2022

Persistent link: https://www.econbiz.de/10013291907

Assessing Australian Monetary Policy in the Twenty-First Century

Gross, Isaac; Leigh, Andrew - 2022

Using the Reserve Bank of Australia's MARTIN model we compare actual monetary policy decisions to a counterfactual in which the cash rate is set according to an optimal simple rule. We find that monetary policy played a crucial role in avoiding a potential recession in 2001 and mitigating the...

Persistent link: https://www.econbiz.de/10013427745

Monetary Policy Interactions: The Policy Rate, Asset Purchases, and Optimal Policy with an Interest Rate Peg

Gödl-Hanisch, Isabel; Mau, Ronald; Rawls, Jonathan - 2023

We study monetary policy in a New Keynesian model with a variable credit spread and scope for central bank asset purchases to matter. A novel financial and labor market interaction generates an endogenous cost-push channel in the Phillips curve and a credit wedge in the IS curve. The "divine...

Persistent link: https://www.econbiz.de/10014290309

Sectoral Labor Mobility and Optimal Monetary Policy

Cantelmo, Alessandro; Melina, Giovanni - 2020

How should central banks optimally aggregate sectoral inﬂation rates in the presence of imperfect labor mobility across sectors? We study this issue in a two-sector New-Keynesian model and show that a lower degree of sectoral labor mobility, ceteris paribus, increases the optimal weight on...

Persistent link: https://www.econbiz.de/10012425544

Modeling two Macro policy instruments: Interest rates and aggregate capital requirements

Gersbach, Hans; Hahn, Volker - 2011

We present a simple neoclassical model to explore how an aggregate bank-capital requirement can be used as a macroeconomic policy tool and how this additional tool interacts with monetary policy. Aggregate bank-capital requirements should be adjusted when the economy is hit by cost-push shocks...

Persistent link: https://www.econbiz.de/10010278851

Central Bank Policies and Financial Markets : Lessons from the Euro Crisis

Mody, Ashoka - 2019

identify financial markets’ response to the ECB’s liquidity injections and its more pro-active monetary stimulus between … October 2009 and September 2012, the most intense phase of the eurozone crisis. Dollar liquidity clearly reduced stress in … bond markets and improved economic sentiment, as reflected in higher equity prices. In contrast, passive euro liquidity …

Persistent link: https://www.econbiz.de/10012892183

Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan over Time?

Michaelis, Henrike; Watzka, Sebastian - 2014

Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from...

Persistent link: https://www.econbiz.de/10010398546

Liquidity, term spreads and monetary policy

Aksoy, Yunus; Basso, Henrique S. - 2012

profitability of banks' portfolios affect their ability to cover for any liquidity shortage and hence influence the premium they … liquidity shock leads to a sharp decrease in long-term rates and term spreads. Third, such interventions have significant impact … on long-term investment, decreasing the amplitude of output responses after a liquidity shock. The short-term rate does …

Persistent link: https://www.econbiz.de/10010290138