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Asset prices, collateral and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - 2011

repurchase agreements ('Repos'). By varying haircuts applied to securities that serve as collateral in repurchase agreements the … properly again. - DSGE, Monetary Policy, Collateral, Haircuts, Exit Strategy …

Persistent link: https://www.econbiz.de/10009380435

The effectiveness of non-standard monetary policy measures : evidence from survey data

Altavilla, Carlo; Giannone, Domenico - 2016

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/10011619386

When banks hold back : credit and liquidity provision

Altavilla, Carlo; Rostagno, Massimo; Schumacher, Julian - 2025

Banks are reluctant to tap central bank backup liquidity facilities and use the borrowed funds for loans to the real economy. We show that excessively parsimonious borrowing and lending can arise in a stigma-free model where the banking sector has an incentive to overissue deposits. Banks don't...

Persistent link: https://www.econbiz.de/10015179817

Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme

Lemke, Wolfgang; Werner, Thomas - 2017

Starting in summer 2014, markets began to build up expectations that the European Central Bank (ECB) would embark on large-scale sovereign bond purchases. The ECB's Public Sector Purchase Programme (PSPP) was eventually announced on 22 January 2015 and purchases started in March. Both during the...

Persistent link: https://www.econbiz.de/10011740121

Does liquidity regulation impede the liquidity profile of collateral?

Schmidt, Kirsten - 2019

their regulatory ratio by altering their collateral pledging with the European Central Bank. We use the existence of … assets. Using security-level information on collateral pledged with the central bank, we find that banks without a preceding … national liquidity requirement pledge more and less liquid collateral than banks with a preceding national liquidity …

Persistent link: https://www.econbiz.de/10011994641

Money markets, collateral and monetary policy

De Fiore, Fiorella; Hoerova, Marie; Uhlig, Harald - 2019

unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of …

Persistent link: https://www.econbiz.de/10011975558

How does monetary policy affect income and wealth inequality? : evidence from quantitative easing in the euro area

Lenza, Michele; Slacalek, Jirka - 2018

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/10011921470

The international bank lending channel of unconventional monetary policy

Gräb, Johannes; Żochowski, Dawid - 2017

We use a confidential euro area bank-level data set of close to 250 banks to assess outward and inward spillovers of unconventional monetary policies on bank lending. We find that euro area banks increase lending to the rest of the world in response to non-standard ECB monetary policy...

Persistent link: https://www.econbiz.de/10011745788

Whatever it takes to save the planet? : central banks and unconventional green policy

Ferrari, Alessandro; Nispi Landi, Valerio - 2020

We study the effects of a temporary Green QE, defined as a policy that temporarily tilts the central bank's balance sheet toward green bonds, i.e. bonds issued by firms in non-polluting sectors. To this purpose, we merge a standard DSGE framework with an environmental model. In our model,...

Persistent link: https://www.econbiz.de/10012384477

The rise of bond financing in Europe

Darmouni, Olivier; Papoutsi, Melina - 2022

The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...

Persistent link: https://www.econbiz.de/10013198743