We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

We analyse macro financial linkages in the Danish economy by estimating a structural VAR model using Bayesian techniques and construct a new financial condition index for the Danish economy. We measure financial conditions as the aggregate impact of financial variables on real activity from the...

The portfolio rebalancing of Danish pension companies following the introduction of the ECB's asset purchase programmes is studied using a new and unique data set of their financial transactions and holdings since 2015. Due to a long-standing fixed exchange rate regime, Danish pension companies...

Increases in long-term interest rates such as in 2021 entail a jump in the duration of Danish long-term mortgage bonds via an embedded prepayment option. The jump in duration may lower the demand for duration and thus longterm bonds. This may lead to selfreinforcing effects. Jumps in duration in...

We study the impact of the ECB's large scale asset purchase programme on selected euro area and neighbouring countries. The effects of the programme are assessed by conducting an event study as well as by estimating a structural VAR model using a shadow short rate as a measure of the monetary...

We analyse macro financial linkages in the Danish economy by estimating a structural VAR model using Bayesian techniques and construct a new financial condition index for the Danish economy. We measure financial conditions as the aggregate impact of financial variables on real activity from the...

This paper analyses price formation in medium- to longer-term maturity segments of euro area and US inflation-linked and nominal bond markets around the releases of important economic indicators. We compare the pre-crisis and crisis periods, controlling for liquidity effects observed in...