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International effects of a compression of euro area yield curves

Feldkircher, Martin; Gruber, Thomas; Huber, Florian - 2019

In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers...

Persistent link: https://www.econbiz.de/10012030981

A Disequilibrium Multi-Country Macroeconomic Model with Agent-Based Portfolio Investors

Takahashi, Ichiro - 2013

Persistent link: https://www.econbiz.de/10013073811

Investment Funds, Risk-Taking, and Monetary Policy in the Euro Area

Giuzio, Margherita; Kaufmann, Christoph; Ryan, Ellen; … - 2021

We examine the transmission of monetary policy via the euro area investment fund sector using a BVAR framework. We find that expansionary shocks are associated with net inflows and that these are strongest for riskier fund types, reflecting search for yield among euro area investors. Search for...

Persistent link: https://www.econbiz.de/10013324210

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...

Persistent link: https://www.econbiz.de/10012836323

Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus

Hristov, Nikolay - 2020

Persistent link: https://www.econbiz.de/10012838235

Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2019

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven diﬀerent maturities. In identifying this impact, it adopts a novel econometric...

Persistent link: https://www.econbiz.de/10012147209

The true nature of the portfolio balance channel of quantitative easing policy

Jakl, Jakub - In: Národohospodářský obzor : časopis věnovaný … 19 (2019) 2, pp. 95-117

This paper analyses the effects of the ECB's Public sector purchase programme (PSPP) on portfolios of the Eurozone … sectoral data regression analysis of asset holdings of different investors in the Eurozone. This study addresses questions … the Eurozone to reallocate their funds. The series of obtained regression estimates and counterfactual analysis graphic …

Persistent link: https://www.econbiz.de/10012026893

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...

Persistent link: https://www.econbiz.de/10012138612

The future of macroeconomics : macro theory and models at the Bank of England

Hendry, David F.; Muellbauer, John - In: Oxford review of economic policy 34 (2018) 1/2, pp. 287-328

Persistent link: https://www.econbiz.de/10011953919

The future of macroeconomics : macro theory and models at the Bank of England

Hendry, David F.; Meullbauer, John N. J. - 2017

Persistent link: https://www.econbiz.de/10011752399