Showing 1 - 10 of 1,321
In this paper we construct Financial Conditions Indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, while two versions without...
Persistent link: https://www.econbiz.de/10011605586
We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector Purchase Programme (PSPP), using granular data on all PSPP-eligible securities at daily frequency. To avoid simultaneity bias in the estimated relationship between yields and purchase...
Persistent link: https://www.econbiz.de/10011804367
We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector Purchase Programme (PSPP), using granular data on all PSPP-eligible securities at daily frequency. To avoid simultaneity bias in the estimated relationship between yields and purchase...
Persistent link: https://www.econbiz.de/10012956267
We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...
Persistent link: https://www.econbiz.de/10013001152
We assess professional forecasters' perceptions of the effects of the unconventional monetary policy measures announced by the US Federal Reserve after the collapse of Lehman Brothers. Using survey data, collected at individual level, we analyze the change in the forecasts for Treasury and...
Persistent link: https://www.econbiz.de/10012984203
This paper explores the role of central bank capital in ensuring that central banks focus on price stability in monetary policy decisions. The paper goes beyond the existing literature on this topic by developing a simple, but comprehensive, model of the relationship between a central bank's...
Persistent link: https://www.econbiz.de/10011604438
This paper empirically examines the extent to which prudential policies can help to reduce the macro-financial spillover effects of foreign monetary policy for all 28 EU countries. Using local projection methods, I show that EU countries with tighter prudential policies face significantly...
Persistent link: https://www.econbiz.de/10014543604
We examine whether emerging market prudential policies help to reduce the macrofinancial spillover effects of US monetary policy. We find that emerging markets with tighter prudential policies face significantly smaller, and less negative, spillovers to total credit from US monetary policy...
Persistent link: https://www.econbiz.de/10012389542
This paper studies optimal discretionary monetary policy in the presence of uncertainty about the degree of financial frictions. Changes in the degree of financial frictions are modelled as changes in parameters of a hybrid New-Keynesian model calibrated for the UK, following Bean, Larsen and...
Persistent link: https://www.econbiz.de/10011604685
We use a dynamic general equilibrium model featuring a banking sector to assess the interaction between macroprudential policy and monetary policy. We find that in “normal” times (when the economic cycle is driven by supply shocks) macroprudential policy generates only modest benefits for...
Persistent link: https://www.econbiz.de/10011605494