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Assessing Asset Purchases within the ECB’s Securities Markets Programme

Eser, Fabian - 2013

We assess the yield impact of asset purchases within the ECB's Securities Markets Programme in five euro area sovereign … debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements …

Persistent link: https://www.econbiz.de/10013077031

Negative Interest Rates, Excess Liquidity and Retail Deposits : Banks’ Reaction to Unconventional Monetary Policy in the Euro Area

Demiralp, Selva; Eisenschmidt, Jens; Vlassopoulos, Thomas - 2021

Negative interest rate policy (NIRP) is associated with a particular friction. The remuneration of banks´ retail deposits tends to be floored at zero, which limits the transmission of policy rate cuts to bank funding costs. We investigate whether this friction affects banks’ reactions under...

Persistent link: https://www.econbiz.de/10013221074

Negative Interest Rates, Excess Liquidity and Retail Deposits : Banks’ Reaction to Unconventional Monetary Policy in the Euro Area

Demiralp, Selva - 2019

Negative monetary policy rates are associated with a particular friction because the remuneration of retail deposits tends to be floored at zero. We investigate whether this friction affects banks' reactions when the policy rate is lowered to negative levels, compared to a standard rate cut in...

Persistent link: https://www.econbiz.de/10012869955

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

Macroeconomic Implications of Oil Price Fluctuations : A Regime-Switching Framework for the Euro Area

Holm-Hadulla, Fédéric - 2018

We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...

Persistent link: https://www.econbiz.de/10012931102

A High Frequency Assessment of the ECB Securities Markets Programme

Ghysels, Eric - 2014

Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme … been ineffective, or worse counterproductive. We use high frequency data on purchases of the ECB Securities Markets … interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

Persistent link: https://www.econbiz.de/10013059119

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

Assessing the Fiscal-Monetary Policy Mix in the Euro Area

Bańkowski, Krzysztof; Christoffel, Kai; Faria, Thomas - 2021

2030 – and it builds on the ECB-BASE –a semistructural model for the euro area. The historical analysis (until end-2019 … reaching favourable macroeconomic outcomes (i.e. recovering pandemic output losses and bringing inflation close to the ECB …

Persistent link: https://www.econbiz.de/10013312080

Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

Ehrmann, Michael - 2017

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility …

Persistent link: https://www.econbiz.de/10012962430

The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

Bubeck, Johannes; Habib, Maurizio Michael; Manganelli, … - 2021

This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund …

Persistent link: https://www.econbiz.de/10013315441