Similar Search Results

Asset Price Volatility in EU-6 Economies : How Large is the Role Played by the ECB?

Ciarlone, Alessio - 2018

the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern … significant role in dampening volatility spikes in the financial markets of the countries at stake. This probably reflects how …

Persistent link: https://www.econbiz.de/10012915141

Inflation, equity market volatility, and bond prices : evidence from G7 countries

Chen, Yu-Fen; Chiang, Thomas C.; Lin, Fu-Lai - In: Risks : open access journal 11 (2023) 11, pp. 1-22

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …

Persistent link: https://www.econbiz.de/10014436363

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011632212

The Theory of Unconventional Monetary Policy

Farmer, Roger E. A. - 2016

This paper is about the effectiveness of qualitative easing, a form of unconventional monetary policy that changes the risk composition of the central bank balance sheet with the goal of stabilizing economic activity. We construct a general equilibrium model where agents have rational...

Persistent link: https://www.econbiz.de/10012983744

Household Portfolios, Monetary Policy and Asset Prices

Leombroni, Matteo; Rogers, Ciaran - 2021

In this paper we study the role of household portfolio rebalancing channel for the aggregate and redistributive effects of monetary policy. The transmission of monetary policy works not only through the usual income and substitution motives, but also through an endogenous portfolio rebalancing...

Persistent link: https://www.econbiz.de/10013321564

Optimal Liquidity and Asset Bubbles

Detemple, Jerome; Kitapbayev, Yerkin; Prieto, Rodolfo - 2023

increased stock volatility created by arbitrageurs with access to credit lines. Arbitrageurs and liquidity providers are at …

Persistent link: https://www.econbiz.de/10014348653

A model of cycles and bubbles under heterogeneous beliefs in financial markets

Burs, Carina - In: Cogent economics & finance 11 (2023) 2, pp. 1-29

I study the effect of heterogeneous beliefs about asset prices on the long-term behavior of financial markets. Starting from the ideas of Abreu and Brunnermeier (2003), a two-dimensional system of differential equations is developed. The first dynamic variable is the asset price growth rate. The...

Persistent link: https://www.econbiz.de/10014501110

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2015

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

Persistent link: https://www.econbiz.de/10013039100

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2010

Persistent link: https://www.econbiz.de/10013137030

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2012

Persistent link: https://www.econbiz.de/10013099439