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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. 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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    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
  5. 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
  6. 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
    Language: English
    Media type: Ebook
    Format: Online
    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
  7. 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
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    ISBN: 9781464802010
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    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
  8. Making room for the needy
    the credit-reallocation effects of the ECB’s corporate QE
    Author: Arce, Óscar; Gimeno, Ricardo; Mayordomo, Sergio
    Published: 2017
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
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    Media type: Book
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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1743
    Subjects: unconventional monetary policy; Corporate Sector Purchase Programme; quantitative easing; portfolio rebalancing
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. The interest rate effects of government debt maturity
    Author: Chadha, Jagjit; Turner, Philip; Zampolli, Fabrizio
    Published: 2017
    Publisher:  National Institute of Economic and Social Research, London

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    Source: Union catalogues
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    Series: NIESR discussion paper ; no. 476 (20 February 2017)
    Subjects: long-term interest rate; sovereign debt management; portfolio balance effects; quantitative easing
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  10. Quantifying "quantitative tightening" (QT)
    how many rate hikes is QT equivalent to?
    Author: Wei, Bin
    Published: [2022]
    Publisher:  Federal Reserve Bank of Atlanta, Atlanta, GA

    How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both... more

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    How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield. Based on the model calibrated to fit the nominal Treasury data between 1999 and 2022, I show that a passive roll-off of $2.2 trillion over three years is equivalent to an increase of 29 basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion being doubled, it is equivalent to a 74 basis point increase. I also quantify the effect of QT implemented by active sales. Lastly, based on the model-based estimates, I show that if the Treasury were to issue bills to offset maturing securities, the resulting equivalent rate hikes in the current federal funds rate would decrease dramatically to 7.4 (12.6) basis points during normal (crisis) periods.

     
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    Other identifier:
    hdl: 10419/270451
    Series: Working paper series / Federal Reserve Bank of Atlanta ; 2022, 8 (July 2022)
    Subjects: monetary policy; quantitative tightening; QT; quantitative easing; QE; rate hikes; preferredhabitat; reserves; reverse repo
    Scope: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  11. A global monetary policy factor in sovereign bond yields
    Author: Malliaropulos, Dimitris; Migiakis, Petros
    Published: July 2022
    Publisher:  Bank of Greece, Athens

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    Series: Working paper / Bank of Greece ; 301
    Subjects: quantitative easing; central bank balance sheet policies; sovereign risk; interest rates; panel cointegration
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  12. The yield and market function effects of the reserve bank of Australia's bond purchases
    Author: Finlay, Richard; Titkov, Dmitry; Xiang, Michelle
    Published: May 2022
    Publisher:  Reserve Bank of Australia, [Sydney]

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    Series: Research discussion paper / Reserve Bank of Australia ; RDP 2022, 02
    Subjects: market function; yield target; quantitative easing; event study
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  13. Causal effects of the Fed's large-scale asset purchases on firms' capital structure
    Author: Nocera, Andrea; Pesaran, M. Hashem
    Published: [2022]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2224
    Subjects: Capital structure; identification; interactive effects; leverage; quantitative easing; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  14. 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
  15. The term structure of interest rates in a heterogeneous monetary union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: July 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We build a no-arbitrage 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 a no-arbitrage 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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    Source: Union catalogues
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    Media type: Book
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    hdl: 10419/263774
    Series: CESifo working paper ; no. 9844 (2022)
    Subjects: sovereign default; quantitative easing; yield curve; affine model; Covid-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  16. Toward a green economy
    the role of central bank's asset purchases
    Author: Ferrari, Alessandro; Nispi Landi, Valerio
    Published: [2022]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1358 (February 2022)
    Subjects: central bank; monetary policy; quantitative easing; climate change
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  17. Does quantitative easing affect people's personal financial situation and economic inequality?
    the view of the German population
    Author: Hayo, Bernd
    Published: [2020]
    Publisher:  Verein für Socialpolitik, [Köln]

    Using representative survey data collected in 2018, I study how laypersons in Germany perceive the effects of quantitative easing (QE) on their personal financial situation and on national economic inequality. Almost 40% think that their economic... more

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    Using representative survey data collected in 2018, I study how laypersons in Germany perceive the effects of quantitative easing (QE) on their personal financial situation and on national economic inequality. Almost 40% think that their economic situation is unaffected by QE, whereas 20% and 6% believe that QE has made them worse off or better off, respectively. Regarding economic inequality, about one-third of the population is of the opinion that QE contributes to inequality, only 10% think it does not, and 13% cannot perceive an impact. These groups with the different views are characterised using multivariate ordered logit models. First, respondents who feel that their personal economic situation has deteriorated as a result of QE tend to be savers, those with better objective knowledge about monetary policy affairs, and older people, whereas those who feel their situation has improved have more trust in the ECB and support conservative (CDU/CSU) parties. Second, the view that QE increases economic inequality in Germany is favoured by Left Party supporters, East Germans, and those with a relatively high level of monetary policy knowledge, whereas those who have more trust in the ECB have the opposite view. Third, persons with a high level of monetary policy knowledge, more formal education, and clear political preferences are more likely to answer the questions on the effects of QE.

     
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    hdl: 10419/242331
    Edition: This version: 22 December 2020
    Series: Jahrestagung 2021 / Verein für Socialpolitik ; 24
    Subjects: Economic inequality; income distribution; quantitative easing; QE; monetary policy; ECB,population survey; Germany
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  18. Liquidity dependence
    why shrinking central bank balance sheets is an uphill task
    Author: Acharya, Viral V.; Chauhan, Rahul; Rajan, Raghuram Govind; Steffen, Sascha
    Published: 31 October 2022
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Series: Array ; DP17622
    Subjects: Federal Reserve; quantitative easing; large-scale asset purchases; quantitative tightening; Fed normalization; deposits; lines of credit; financial stability; financial fragility; monetary policy
    Scope: 1 Online-Ressource (circa 67 Seiten)
  19. The term structure of interest rates in a heterogeneous Monetary Union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: 2022
    Publisher:  Banco de España, Madrid

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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2223
    Subjects: sovereign default; quantitative easing; yield curve; affine model; COVID-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  20. Does quantitative easing mitigate the sovereign-bank nexus?
    Author: Bechtel, Alexander; Eisenschmidt, Jens; Ranaldo, Angelo
    Published: January 6, 2021
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    The credit risk of the sovereign affects the financial health of its banking sector and vice versa, creating an adverse feedback loop known as “sovereign- bank nexus”. We show that Quantitative Easing can effectively mitigate the sovereign-bank... more

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    The credit risk of the sovereign affects the financial health of its banking sector and vice versa, creating an adverse feedback loop known as “sovereign- bank nexus”. We show that Quantitative Easing can effectively mitigate the sovereign-bank nexus. Our results indicate that the ECB’s Public Sector Purchase Programme reduced the co-movement of sovereign and bank credit risk by almost 80%. The mitigation is driven by the euro area periphery and works through three channels: (i) a reduction in government bond holdings of banks, (ii) an increase of government bond prices, and (iii) an increase in excess liquidity holdings of banks

     
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    Series: Working papers on finance ; no. 2021, 01
    Subjects: Sovereign-bank nexus; quantitative easing; Public Sector Purchase Programme; financial stability
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  21. Parliamentary control of public money
    Author: Bateman, William
    Published: July 2018

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  22. Quantitative easing and corporate innovation
    Author: Grimm, Niklas; Laeven, Luc; Popov, Alexander
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    To what extent can Quantitative Easing impact productivity growth? We document a strong and heterogeneous response of corporate R&D investment to changes in debt financing conditions induced by corporate debt purchases under the ECB’s Corporate... more

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    To what extent can Quantitative Easing impact productivity growth? We document a strong and heterogeneous response of corporate R&D investment to changes in debt financing conditions induced by corporate debt purchases under the ECB’s Corporate Sector Purchase Program. Companies eligible for the program increase significantly their investment in R&D, relative to similar ineligible companies operating in the same country and sector. The evidence further suggests that by subsidizing the cost of debt, corporate bond purchases by the central bank stimulate innovation through a wealth transfer to innovative companies with low debt levels, rather than by supporting credit constrained firms.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289948685
    Other identifier:
    hdl: 10419/249888
    Series: Working paper series / European Central Bank ; no 2615 (November 2021)
    Subjects: Unconventional monetary policy; quantitative easing; corporate innovation; productivity growth
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  23. On the time-varying effects of the ECB’s asset purchases
    Author: Zlobins, Andrejs
    Published: October 2021
    Publisher:  Latvijas Banka, Riga

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789934578397
    Series: Working paper / Latvijas Banka ; 2021,2
    Subjects: quantitative easing; central bank asset purchases; monetary policy; euro area; non-linearities
    Scope: 1 Online-Ressource (circa 49 Seiten, Illustrationen
  24. 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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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    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
  25. Causal effects of the Fed's large-scale asset purchases on firms' capital structure
    Author: Nocera, Andrea; Pesaran, M. Hashem
    Published: April 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper investigates the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic... more

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    This paper investigates the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry variations in the ability of firms therein to raise external funds without exhausting their debt capacity. We show that firms' responses to LSAPs strongly depend on the financing decisions of other peers in the same industry. The higher the proportion of firms without high debt burdens in an industry, the stronger the response of firms within the industry to the Fed's asset purchases. Overall, our results show that LSAPs facilitated firms' access to debt financing and that the impacts of LSAPs on firms' capital structure are likely to be long-lasting.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/260825
    Series: CESifo working paper ; no. 9695 (2022)
    Subjects: capital structure; identification; interactive effects; leverage; quantitative easing; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 89 Seiten), Illustrationen