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On the International Spillovers of US Quantitative Easing

Fratzscher, Marcel - 2013

The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...

Persistent link: https://www.econbiz.de/10013081463

Government bond risk premia and the cyclicality of fiscal policy

Christoffel, Kai; Jaccard, Ivan; Kilponen, Juha - 2011

We introduce a specification of habit formation featuring non-separability between consumption and leisure into an otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing implications are evaluated using higher-order...

Persistent link: https://www.econbiz.de/10011605456

The Elusive Welfare Economics of Price Stability as a Monetary Policy Objective : Why New Keynesian Central Bankers Should Validate Core Inflation

Buiter, Willem H. - 2021

The paper studies the inflation rate associated with optimal monetary and fiscal policy in a number of standard dynamic …, optimal inflation policy requires the validation, that is, the full accommodation of core producer inflation by actual … producer price inflation; (2) Optimal monetary policy implements Bailey-Friedman optimal quantity of money rule. No welfare …

Persistent link: https://www.econbiz.de/10013317652

Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE Model

Hilberg, Björn - 2011

In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...

Persistent link: https://www.econbiz.de/10013121427

Medium Term Treatment and Side Effects of Quantitative Easing : International Evidence

Beck, Roland - 2019

CPI and in inflation expectations. However, our findings suggest that the main transmission channel does not appear to be … stronger aggregate demand impacting inflation through the Phillips curve, but rather exchange rate depreciation. Finally, we do …

Persistent link: https://www.econbiz.de/10012893823

Quantitative Easing and Corporate Innovation

Grimm, Niklas; Laeven, Luc; Popov, Alexander - 2021

To what extent can Quantitative Easing impact productivity growth? We document a strong and heterogeneous response of corporate R&D investment to changes in debt financing conditions induced by corporate debt purchases under the ECB’s Corporate Sector Purchase Program. Companies eligible for...

Persistent link: https://www.econbiz.de/10013313118

Global Corporate Bond Issuance : What Role for US Quantitative Easing?

Lo Duca, Marco - 2014

The paper investigates the impact of US quantitative easing (QE) on global non-financial corporate bond issuance. It distinguishes between two QE instruments, MBS/GSE debt and Treasury bonds, and disentangles between two channels of transmission of QE to global bond markets, namely flow effects...

Persistent link: https://www.econbiz.de/10013058552

ECB Corporate QE and the Loan Supply to Bank-Dependent Firms

Betz, Frank; De Santis, Roberto A. - 2021

Using a representative sample of businesses in the euro area, we show that Eurosystempurchases of corporate bonds under the Corporate Sector Purchase programme (CSPP)increased the net issuance of debt securities, triggering a shift in bank loan supply infavour of firms that do not have access to...

Persistent link: https://www.econbiz.de/10013315344

Quantitative Easing and the Price-Liquidity Trade-Off

Ferdinandusse, M. - 2020

We consider the effects of quantitative easing on liquidity and prices of bonds in a search-and matching model. The model explicitly distinguishes between demand and supply effects of central bank asset purchases. Both are shown to lead to a decline in yields, while they have opposite effects on...

Persistent link: https://www.econbiz.de/10012835072

How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area

Lenza, Michele; Slacalek, Jirka - 2021

This paper studies the effects of quantitative easing on income and wealth of individual euro area households. The aggregate effects of quantitative easing are estimated in a multi-country VAR model of the four largest euro area countries, in which key variables affecting household income and...

Persistent link: https://www.econbiz.de/10013315393