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Unconventional Monetary Policy and the Great Recession - Estimating the Impact of a Compression in the Yield Spread at the Zero Lower Bound

Baumeister, Christiane - 2010

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a ‘pure' spread shock which, leaving the short-term rate unchanged by construction,...

Persistent link: https://www.econbiz.de/10013137091

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10013316627

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2012

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can … address the market failure caused by unregulated trading of hedging contracts among protection sellers …

Persistent link: https://www.econbiz.de/10013113017

The Anatomy of the Euro Area Interest Rate Swap Market

Dalla Fontana, Silvia - 2019

comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …

Persistent link: https://www.econbiz.de/10012892579

The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP)

Gambetti, Luca - 2017

This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the...

Persistent link: https://www.econbiz.de/10012954345

Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields : Evidence from a Natural Experiment

De Santis, Roberto A. - 2017

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

The Financial and Macroeconomic Effects of OMT Announcements

Altavilla, Carlo - 2014

This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while...

Persistent link: https://www.econbiz.de/10013051170

The Geography of the Great Rebalancing in Euro Area Bond Markets During the Sovereign Debt Crisis

Beck, Roland - 2015

During the sovereign debt crisis investors rebalanced out of stressed and into non-stressed euro area countries, thereby contributing to the tensions in euro area financial markets. This paper examines the geographical pattern of this great rebalancing. Specifically, we test whether euro area...

Persistent link: https://www.econbiz.de/10013016950

Sovereign Stress, Unconventional Monetary Policy, and SME Access to Finance

Ferrando, Annalisa - 2015

We investigate the effect of sovereign stress and of unconventional monetary policy on small firms' financing patterns during the euro area debt crisis. We find that after the crisis started, firms in stressed countries were more likely to be credit rationed, both in the quantity and in the...

Persistent link: https://www.econbiz.de/10013019629

Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area

Altavilla, Carlo - 2016

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