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The economic effects of Brexit : evidence from the stock market

Breinlich, Holger; Leromain, Elsa; Novy, Dennis; … - 2018

Persistent link: https://www.econbiz.de/10011928024

Effects of the ECB's communication on government bond spreads

Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023

This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and...

Persistent link: https://www.econbiz.de/10014330976

Bank mergers in the financial crisis : a competition policy perspective

Hellwig, Michael; Laser, Falk Hendrik - 2019

We analyze a large merger in the Dutch banking market during the financial crisis using disaggregated data. Based on a … merger simulation model, we evaluate merger-induced changes in the interest rates for savings accounts. We find that the … less educated consumers with lower savings are most affected. Our findings highlight the important role of competition …

Persistent link: https://www.econbiz.de/10012118754

How do investors value the publication of tax information? : evidence from the European public country-by-country reporting

Müller, Raphael; Spengel, Christoph; Weck, Stefan - 2021 - This version: October 2021

We examine the capital market reaction to the announcement of the European Union (EU) to introduce a public tax country-by-country reporting (CbCR) regime. By employing an event study methodology, we find a significant cumulative average abnormal return (CAAR) of -0.699%, which translates into a...

Persistent link: https://www.econbiz.de/10012648417

Using the efficiencies defense in horizontal mergers

Weiss, Avi - 1989

Persistent link: https://www.econbiz.de/10000798655

On the macroeconomic effects of reinvestments in asset purchase programmes

Gerke, Rafael; Kienzler, Daniel; Scheer, Alexander - 2022

A feature of recent monetary policy asset purchase programmes is the reinvestment policy: the central bank announces to keep the overall volume of assets on its balance sheet constant for some time. In this paper, we systematically assess the macroeconomic effects of such reinvestment policies....

Persistent link: https://www.econbiz.de/10013460153

What moves markets?

Kerssenfischer, Mark; Schmeling, Maik - 2022

What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events. We find that news account for about 50% of all bond and stock price movements in the United States and euro area since 2002,...

Persistent link: https://www.econbiz.de/10013202601

Information effects of euro area monetary policy : new evidence from high-frequency futures data

Kerssenfischer, Mark - 2019

Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...

Persistent link: https://www.econbiz.de/10011972952

Dispelling the shadow of fiscal dominance? : fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic

Havlik, Annika; Heinemann, Friedrich; Helbig, Samuel; … - 2021 - This version: June 2021

We use event study regressions to compare the impact of EU monetary versus fiscal policy announcements on government bond spreads of ten euro member countries. Our motivation is to evaluate which of the two players - the ECB or the EU fiscal level - has been more crucial for the stabilization of...

Persistent link: https://www.econbiz.de/10012534642

On event studies and distributed-lags in two-way fixed effects models : identification, equivalence, and generalization

Schmidheiny, Kurt; Siegloch, Sebastian - 2020

We discuss important properties and pitfalls of panel-data event study designs. We derive three main results. First, binning of effect window endpoints is a practical necessity and key for identification of dynamic treatment effects. Second, event study designs with binned endpoints and...

Persistent link: https://www.econbiz.de/10012196335