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  1. The impact of the ECB asset purchases on the European bond market structure: granular evidence on ownership concentration
    Author: Boermans, Martijn; Keshkov, Viacheslav
    Published: [2018]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Series: Working paper / De Nederlandsche Bank NV ; no. 590 (April 2018)
    Subjects: quantitative easing; portfolio rebalancing; market concentration; ECB; PSPP; securities holdings statistics; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. Measuring monetary policy spillovers between U.S. and German bond yields
    Author: Curcuru, Stephanie E.; Pooter, Michiel de; Eckerd, George
    Published: April 2018
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    In this paper we estimate the magnitude of spillovers between bond markets in the U.S. and Germany following monetary policy communications by the FOMC and the ECB. The identification of policy-related co-movements following FOMC announcements, in... more

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    In this paper we estimate the magnitude of spillovers between bond markets in the U.S. and Germany following monetary policy communications by the FOMC and the ECB. The identification of policy-related co-movements following FOMC announcements, in particular, can be difficult because many foreign bond markets, including those in Germany, are closed at the time of the announcement. To address this issue we use intraday futures market data to estimate spillovers during a narrow and overlapping event window. We find that about half of the reaction in German domestic yields spills over to U.S. yields following ECB announcements, which is nearly identical to the spillover from U.S. yields to German Bund yields following FOMC announcements. This result contrasts with the conventional wisdom that FOMC announcements spill over to other countries but that there is not much effect in the other direction. We also find that spillover estimates are slightly higher in the post-crisis period, but that there is little difference in the spillover impact of conventional versus unconventional monetary policy. Our results based on futures prices differ noticeably from those using daily prices, which suggests that spillover estimates based on cash market data can be misleading

     
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    Series: International finance discussion papers ; number1226 (April 2018)
    FRB International Finance Discussion Paper ; No. 1226
    Subjects: Monetary policy; quantitative easing; interest rate differentials
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  3. Spreading the word or reducing the term spread?
    assessing spillovers from euro area monetary policy
    Author: Feldkircher, Martin; Gruber, Thomas; Huber, Florian
    Published: May 2017
    Publisher:  Vienna University of Economics and Business, Wien

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    Series: Department of Economics working paper / Vienna University of Economics and Business ; no. 248
    Subjects: Euro area monetary policy; quantitative easing; spillovers
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  4. Fifty shades of QE
    robust evidence
    Author: Fabo, Brian; Jancoková, Martina; Kempf, Elisabeth; Pástor, Ľuboš
    Published: 16 March 2023
    Publisher:  Centre for Economic Policy Research, London

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    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17998
    Subjects: Economic research; quantitative easing; QE; central bank; career concerns
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  5. Future of the Economic and Monetary Union
    Author: Gortsos, Christos V.
    Published: 2022
    Publisher:  SSRN, [S.l.]

    The present paper contains a brief presentation and analysis, in a historical perspective through the lens of the recent major crises, of the legal framework governing the European Economic and Monetary Union (EMU), as well as current developments... more

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    The present paper contains a brief presentation and analysis, in a historical perspective through the lens of the recent major crises, of the legal framework governing the European Economic and Monetary Union (EMU), as well as current developments and challenges ahead. It is structured in three Sections:Section I (“Introductory Remarks”) sets out the foundations of the EMU.The following Section II (“The Impact of the Three Major Crises During the Period 2007-2021”) develops on how the (2007-2009) Global Financial Crisis (GFC), the subsequent fiscal crisis in the euro area and the most recent pandemic crisis have affected the conduct of monetary policy by the European Central Bank (ECB) within the Eurosystem, have led to the strengthening of the Economic Union regarding sovereign crisis management and have led to the creation of the European System of Financial Supervision (ESFS) and the then of the Banking Union (BU), in some pillars of which the role of the ECB is significant.Finally, Section III (“Current Developments and Challenges”) discusses recent and current developments in relation to the Monetary Union (including the new (2021) monetary policy strategy of the Eurosystem and its implementation amidst the ‘inflation crisis’ in 2022), the Economic Union and the Banking Union (with a focus on the ‘unfinished’ agenda)

     
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    Series: European Banking Institute Working Paper Series ; 2022 - no. 129
    Subjects: EMU; ECB; Eurosystem; European System of Financial Supervision (ESFS); Banking Union (BU); Global Financial Crisis (GFC); euro area fiscal crisis; inflation crisis; monetary policy; quantitative easing; new monetary policy strategy; financial stability; macroprudential policies
    Scope: 1 Online-Ressource (22 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 8, 2022 erstellt
  6. The demand for government debt
    Author: Eren, Egemen; Schrimpf, Andreas; Xia, Fan Dora
    Published: June 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Language: English
    Media type: Book
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    Series: BIS working papers ; no 1105
    Subjects: government debt; demand; yield elasticity; quantitative easing; quantitative tightening
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. Unwinding quantitative easing
    state dependency and household heterogeneity
    Author: Cantore, Cristiano; Meichtry, Pascal
    Published: [2023]
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 1030 (June 2023)
    Subjects: Unconventional monetary policy; quantitative tightening; quantitative easing; heterogeneous agents; zero lower bound
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  8. Implementing yield curve control measures into the CNB core forecasting model
    Author: Brázdik, František; Musil, Karel; Tvrz, Stanislav
    Published: August 2023
    Publisher:  Czech National Bank, Economic Research Department, Praha

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    Series: Working paper series / Czech National Bank ; 2023, 8
    Subjects: DSGE models; inflation targeting; quantitative easing; unconventional monetary policy; yield curve
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  9. Fifty shades of QE: robust evidence
    Author: Fabo, Brian; Jančová, Martina; Kempf, Elisabeth; Pástor, Ľuboš
    Published: June 23, 2023
    Publisher:  National Bank of Slovakia, Bratislava

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    Series: NSB Working paper / National Bank of Slovakia ; 2023,4
    Subjects: Economic research; quantitative easing; QE; central bank; career concerns;asset pricing
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  10. Fifty shades of QE
    robust evidence
    Author: Fabo, Brian; Jancoková, Martina; Kempf, Elisabeth; Pástor, Ľuboš
    Published: [2023]
    Publisher:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Fabo, Jančoková, Kempf, and Pástor (2021) show that papers written by central bank researchers find quantitative easing (QE) to be more effective than papers written by academics. Weale and Wieladek (2022) show that a subset of these results lose... more

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    Fabo, Jančoková, Kempf, and Pástor (2021) show that papers written by central bank researchers find quantitative easing (QE) to be more effective than papers written by academics. Weale and Wieladek (2022) show that a subset of these results lose statistical significance when OLS regressions are replaced by regressions that downweight outliers. We examine those outliers and find no reason to downweight them. Most of them represent estimates from influential central bank papers published in respectable academic journals. For example, among the five papers finding the largest peak effect of QE on output, all five are published in high-quality journals (Journal of Monetary Economics, Journal of Money, Credit and Banking, and Applied Economics Letters), and their average number of citations is well over 200. Moreover, we show that these papers have supported policy communication by the world's leading central banks and shaped the public perception of the effectiveness of QE. New evidence based on quantile regressions further supports the results in Fabo et al. (2021).

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/271055
    Series: Working paper series / Institute for Monetary and Financial Stability ; no. 181 (2023)
    Subjects: Economic research; quantitative easing; QE; central bank; career concerns
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  11. Optimal monetary policy mix at the zero lower bound
    Author: Bonciani, Dario; Oh, Joonseok
    Published: October 2021
    Publisher:  Bank of England, London

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    Series: Staff working paper / Bank of England ; no. 945
    Subjects: Optimal monetary policy; unconventional monetary policy; quantitative easing; forward guidance
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  12. The rise of bond financing in Europe
    Author: Darmouni, Olivier; Papoutsi, Melina
    Published: [2022]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    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... more

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    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 and riskier issuers. New issuers invest and grow, instead of simply repaying bank loans. Moreover, holdings of 'buy-and-hold' bond investors are large in aggregate but small for weaker issuers. Nevertheless, the bond investors' sell-off after March 2020 was largely directed at bonds of larger, safer issuers. This micro-evidence can shed light on the implications of corporate bonds market development for smaller firms and financial stability.

     
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    ISBN: 9789289951128
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    hdl: 10419/264488
    Series: Working paper series / European Central Bank ; no 2663 (May 2022)
    Subjects: Corporate bond market; debt structure; disintermediation; financial fragility,ECB; monetary policy; quantitative easing; bond investors
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  13. How sensitive is the economy to large interest rate increases?
    evidence from the taper tantrum
    Author: Sinha, Nitish Ranjan; Smolyansky, Michael
    Published: December 2022
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Series: Finance and economics discussion series ; 2022, 085
    Subjects: Monetary policy; taper tantrum; quantitative easing; Federal Reserve
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  14. Essays in market microstructure
    Author: Schaffner, Patrick
    Published: 2023

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    hdl: 20.500.14171/107741
    5247
    Subjects: Geldmarkt; Wertpapierpensionsgeschäft; Interbankgeschäft; Geldpolitik; EMIR; collateral; tiered reserves; quantitative easing; Basler Eigenkapitalvereinbarung (2010); Repurchase agreement; Eurogeldmarkt; Basel III; Basel 3; Repo
    Scope: 1 Online-Ressource (circa 115 Seiten), Illustrationen
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    Dissertation, University of St.Gallen, 2022
  15. Fed QE and bank lending behaviour
    a heterogeneity analysis of asset purchases
    Author: Grimaldi, Marianna; Kapoor, Supriya
    Published: [2023]
    Publisher:  Sveriges Riksbank, Stockholm

    Though unconventional monetary policy is still new, already there is a conventional wisdom that the impact of monetary policy is related to the composition of the asset mix. This turns out to be incomplete and potentially misleading. In this paper,... more

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    Though unconventional monetary policy is still new, already there is a conventional wisdom that the impact of monetary policy is related to the composition of the asset mix. This turns out to be incomplete and potentially misleading. In this paper, we find more complex effects on bank lending from Quantitative Easing (QE) introduced by the Federal Reserve Bank in 2008. The novelty of our approach is to augment the model with bank-level heterogeneity. While there is a relation between lending and the type of assets purchased by the central bank, the impact on similarly QE-exposed banks is also crucially dependent on banks' solvency and liquidity exposures. Our results highlight that it is necessary to take heterogeneity of exposure into account when assessing the effects of QE.

     
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    Series: Sveriges Riksbank working paper series ; 428
    Subjects: large-scale asset purchases; Federal Reserve; quantitative easing; heterogeneity; liquidity; solvency
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  16. The inefficiency of quantitative easing in the Euro area
    Author: Michail, Nektarios; Louka, Kyriaki G.
    Published: October 2023
    Publisher:  Central Bank of Cyprus, Nicosia, Cyprus

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    Series: Working paper series / Central Bank of Cyprus ; 2023, 3
    Subjects: quantitative easing; euro area; inequality; asset purchases
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  17. Collateral scarcity and market functioning
    insights from the eurosystem securities lending facilities
    Author: Greppmair, Stefan; Jank, Stephan
    Published: [2023]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    We utilize the Eurosystem securities lending facilities as a laboratory to investigate the impact of collateral scarcity on market functioning. The reduction of securities lending fees, implemented in November 2020, provides a natural experiment for... more

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    We utilize the Eurosystem securities lending facilities as a laboratory to investigate the impact of collateral scarcity on market functioning. The reduction of securities lending fees, implemented in November 2020, provides a natural experiment for our analyses. This policy change results in a surge in the utilization of securities lending facilities, particularly for bonds with limited supply elasticity in the repo market. We find no evidence of substitution effects; instead, the overall activity in the repo market expands through the collateral multiplier. The improved pricing conditions alleviate collateral scarcity and enhance market quality in both the repo and cash markets.

     
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    ISBN: 9783957299666
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    hdl: 10419/280417
    Series: Discussion paper / Deutsche Bundesbank ; no 2023, 31
    Subjects: safe assets; collateral scarcity; monetary policy; quantitative easing; securities lending facilities; repo; market functioning
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  18. Effects of emerging markets’ asset purchase programs on financial markets
    Author: Çerçil, İrfan; Gökçen, Cem Ali
    Published: [2023]
    Publisher:  Central Bank of the Republic of Turkey, Head Office, Structural Economic Research Department, Ankara, Turkey

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    Series: Çalışma Tebliği / Türkiye Cumhuriyet Merkez Bankası ; no: 23, 08 (December 2023)
    Subjects: Covid-19; quantitative easing; asset purchase Program; Central banks; emerging markets,; local projections; augmented inverse probability weighting estimation
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  19. The term structure of interest rates in a heterogeneous monetary union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: 05 January 2024
    Publisher:  Centre for Economic Policy Research, London

    We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure... more

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    We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution and decompose yields into term premium and credit risk components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibrating the model to Germany and Italy, we show that a 'default risk extraction' channel is the main driver of Italian yields and that flexibility makes asset purchases more effective.

     
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    Media type: Book
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    Series: Array ; DP18736
    Subjects: sovereign default; quantitative easing; yield curve; affine model; Covid-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 89 Seiten), Illustrationen
  20. Effects of emerging market asset purchase program announcements on financial markets during the COVID-19 pandemic
    Author: Sever, Can; Goel, Rohit; Drakopoulos, Dimitris; Papageorgiou, Evan
    Published: December 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets... more

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    The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets using both event studies and local projections methodology. We find that these asset purchase announcements lowered bond yields, did not lead to a depreciation of domestic currencies, and did not have much effect on equities. While the immediate effect of asset purchases appears positive, further consideration of the risks and longer-term effects of unconventional monetary policies is needed. We highlight the trade-offs involved with the implementation of these measures, and discuss their risks. This working paper adds to the debate on how asset purchase programs should be a regular part of the emerging market policy toolkit

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513564661
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    Series: IMF working paper ; WP/20, 292
    Subjects: COVID-19; pandemic; asset purchase program; quantitative easing; bonds; policy announcement; policy spillover; equities; foreign exchange; central banks; emerging markets
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  21. Less volatile, but slower growth
    Published: June 2013
    Publisher:  The World Bank, Washington, DC

    The global economy appears to be transitioning toward a more stable period. Although acute risks have diminished, real-side activity remains sluggish ??? especially in high-income Europe. Most developing countries have fully recovered from the... more

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    The global economy appears to be transitioning toward a more stable period. Although acute risks have diminished, real-side activity remains sluggish ??? especially in high-income Europe. Most developing countries have fully recovered from the crisis. Although growth is slower than during the boom period, it is in line with underlying potential, and output is projected to pick up only gradually to around 5.8 percent by 2015. High unemployment and spare capacity remain pressing problems in developing Europe and the Middle East and North Africa. With a more stable external environment, new risks and challenges are gaining prominence, including the potential impact on exporting countries of a faster than anticipated decline in commodity prices, the possibility that the eventual withdrawal of quantitative easing exposes vulnerabilities in developing countries, and the need to resort increasingly to supply-side rather than demand stimulus policies to achieve stronger growth.

     
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    Source: Staatsbibliothek zu Berlin
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    ISBN: 9781464800368
    Other identifier:
    hdl: 10986/13892
    Series: Global economic prospects ; volume 7 (June 2013)
    A World Bank Group flagship report
    Subjects: Internationale Wirtschaft; Wirtschaftswachstum; Volatilität; Welt; Industrial production; Inflation; Financial markets; Trade; Exchange rates; Commodity markets; Global outlook; developing countries; financial crisis; growth; macroeconomics; quantitative easing; unemployment
    Scope: 1 Online-Ressource (circa 226 Seiten), Illustrationen
  22. Coping with policy normalization in high-income countries
    Published: January 2014
    Publisher:  The World Bank, Washington, DC

    High-income economies appear to be finally turning the corner, contributing to a projected acceleration in global growth from 2.4 percent in 2013 to 3.2 percent this year, 3.4 percent in 2015, and 3.5 percent in 2016. Overall, growth in developing... more

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    High-income economies appear to be finally turning the corner, contributing to a projected acceleration in global growth from 2.4 percent in 2013 to 3.2 percent this year, 3.4 percent in 2015, and 3.5 percent in 2016. Overall, growth in developing countries is projected to pick up modestly from 4.8 percent in 2013 to 5.3 percent this year, 5.5 percent in 2015, and 5.7 percent in 2016. In the baseline, the withdrawal of quantitative easing (and its effect on the long end of U.S. interest rates) is assumed to follow a relatively slow orderly trajectory. If, however, the taper is met with an abrupt market adjustment, capital inflows could weaken sharply???placing renewed stress on vulnerable developing economies. In a scenario where long-term interest rates rise rapidly by 100 basis points, capital inflows could decline by as much as 50 percent for several quarters.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781464802010
    Other identifier:
    hdl: 10986/16572
    Series: Global economic prospects ; volume 8 (January 2014)
    A World Bank Group flagship report
    Subjects: Cash Flow; Zins; Inflationserwartung; Industrieländer; capital flows; developing countries; forecast; growth; high-income countries; inflation; macroeconomics; quantitative easing; unemployment
    Scope: 1 Online-Ressource (circa 162 Seiten), Illustrationen
  23. Quantitative easing and bank lending
    a panel data approach
    Author: Joyce, Michael A. S.; Spaltro, Marco
    Published: 2014
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 198 (504)
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    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 504
    Subjects: Banking; quantitative easing; panel data
    Scope: Online-Ressource (29 S.), graph. Darst.
  24. Institutional investor portfolio allocation, quantitative easing and the global financial crisis
    Author: Joyce, Michael A. S.; Liu, Zhuoshi; Tonks, Ian
    Published: 2014
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 198 (510)
    Inter-library loan:
    No inter-library loan
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 510
    Subjects: Institutional investors; asset allocation; quantitative easing; portfolio balance channel; financial crisis
    Scope: Online-Ressource (48 S.)
  25. QE and the bank lending channel in the United Kingdom
    Published: 2014
    Publisher:  Bank of England, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 198 (511)
    Inter-library loan:
    No inter-library loan
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Bank of England ; 511
    Subjects: Monetary policy; bank lending channel; quantitative easing
    Scope: Online-Ressource (41 S.), graph. Darst.