Inspecting The Mechanism Of Quantitative Easing In The Euro Area

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Inspecting the Mechanism of Quantitative Easing in the Euro Area

Author : Ralph S. J. Koijen
Publisher :
ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (111 download)

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Book Synopsis Inspecting the Mechanism of Quantitative Easing in the Euro Area by : Ralph S. J. Koijen

Download or read book Inspecting the Mechanism of Quantitative Easing in the Euro Area written by Ralph S. J. Koijen and published by . This book was released on 2019 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using new data on security-level portfolio holdings by investor type and across countries in the euro area, we study portfolio rebalancing during the European Central Bank's (ECB) purchase programme that started in March 2015. To quantify changes in risk concentration, we estimate the evolution of the distribution of duration, government, and corporate credit risk exposures across investor sectors and regions until the last quarter of 2017. Using these micro data, we show that 60% of ECB purchases are sold by non-euro area investors, and we do not find evidence that risks get concentrated in certain sectors or geographies. We estimate a sector-level asset demand system using instrumental variables to connect the dynamics of portfolio rebalancing to asset prices. Our estimates imply that government yields declined by 47bp, on average, but the estimates range from -28bp to -57bp across countries.

The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area

Author : William Arrata
Publisher : International Monetary Fund
ISBN 13 : 1484389506
Total Pages : 45 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area by : William Arrata

Download or read book The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area written by William Arrata and published by International Monetary Fund. This book was released on 2018-12-07 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks’ excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. Using proprietary data from PSPP purchases and repo transactions for specific (“special") securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher.

Quantitative Easing and Its Impact in the US, Japan, the UK and Europe

Author : Kjell Hausken
Publisher : Springer Science & Business Media
ISBN 13 : 1461496462
Total Pages : 129 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Quantitative Easing and Its Impact in the US, Japan, the UK and Europe by : Kjell Hausken

Download or read book Quantitative Easing and Its Impact in the US, Japan, the UK and Europe written by Kjell Hausken and published by Springer Science & Business Media. This book was released on 2013-12-06 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume empirically analyzes the effects of quantitative easing (QE) on interest rates and the economy in the US, Japan, UK and Europe. Using an event-study methodology, the authors find that the measures undertaken by the Federal Reserve and Bank of England, which focus primarily on bond purchases, are much more effective in lowering interest rates than those undertaken by the Bank of Japan and the European Central Bank, which have relied more heavily on lending to private financial institutions. Using large Bayesian vector autoregression (BVAR) models they also analyze the impact of QE on the wider economy. They produce no-QE counterfactual forecasts that are compared with their corresponding baseline forecasts, incorporating the effects of QE on government bond spreads. Despite the failure of stimulating economic activities as a whole, the simulation results suggest that the unconventional monetary policies have a positive influence on industrial production in the US, UK and Japan. The authors’ analysis finds that QE contributes to the reduction in unemployment in the US and Japan, and a rise in inflation-expectations in the US, UK and Euro zone. However, evidence on QE’s effect on house prices, stock prices, consumer confidence, and exchange rate, is mixed and thus inconclusive.

Quantitative Easing in the Euro Area - An Event Study Approach

Author : Florian Urbschat
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Quantitative Easing in the Euro Area - An Event Study Approach by : Florian Urbschat

Download or read book Quantitative Easing in the Euro Area - An Event Study Approach written by Florian Urbschat and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by quantifying the cumulative decrease of spreads and by running event regressions for several Euro Area countries. Focusing on the signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public Sector Purchase Programme (PSPP) but declined afterwards for additional announcements. Possible explanations for this are the declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield reductions were larger for periphery countries' than for core countries' bonds, our evidence suggests that this stronger reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit risk reduction we find rather mild effects from portfolio rebalancing for all countries.

Quantitative Easing. An evaluation of its effectiveness for the European Central Bank

Author : Daniel Stiehle
Publisher : GRIN Verlag
ISBN 13 : 3668246017
Total Pages : 14 pages
Book Rating : 4.6/5 (682 download)

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Book Synopsis Quantitative Easing. An evaluation of its effectiveness for the European Central Bank by : Daniel Stiehle

Download or read book Quantitative Easing. An evaluation of its effectiveness for the European Central Bank written by Daniel Stiehle and published by GRIN Verlag. This book was released on 2016-06-24 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay from the year 2016 in the subject Economics - Macro-economics, general, grade: 78%, University of Warwick, language: English, abstract: This Essay addresses Quantitative Easing and gives an evaluation of its effectiveness and whether or not it was necessary for the European Central Bank to launch its QE program announced in January 2015. In response to the Financial Crisis of 2008, Central Bankers sought to respond with aggressive monetary policy in order to prevent deflation and stimulate aggregate demand. However, since nominal interest rates were already historically low, following the era of ‘Great Moderation’, there was an increased likelihood of nominal interest rate policy being constrained by the Zero Lower Bound. Indeed, by early 2009, 4 major global Central Banks, namely the Federal Reserve (Fed), the Bank of England (BoE), the Bank of Japan (BoJ) and the European Central Bank (ECB) had lowered policy rates to their respective lower bounds. Taylor rule predictions advocated lower policy rates than those achieved by Central Banks at the effective Zero Lower Bound, motivating unconventional policy approaches, depending on individual Central Bank objectives. The ECB implemented QE policy more hesitantly, increasing the size of bank balance sheets by 50% immediately following the collapse of Lehman Brothers, in contrast to the US and UK, whose bank sheets tripled in size. Due to the bank-centric nature of Eurozone economies, firms tend to fund investment through bank borrowing as opposed to money-markets. Hence the ECB adopted an approach of increasing the elasticity of supply of loans by accepting a wide range of assets as collateral and offering unlimited funds at a fixed rate. This served to increase the size of banks’ balance sheets, although bond purchases were subsequently carried out under the framework of the Covered Bond and Securities Markets Programme. The stated aim of QE was to suppress deflationary threats and encourage investment and consumption, although many question the purchase of bonds of heavily indebted states amidst the Sovereign Debt Crisis of 2010, which some suggest allows for the delay in structural, economic reform.

The Inefficiency of Quantitative Easing in the Euro Area

Author : Nektarios Michail
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)

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Book Synopsis The Inefficiency of Quantitative Easing in the Euro Area by : Nektarios Michail

Download or read book The Inefficiency of Quantitative Easing in the Euro Area written by Nektarios Michail and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets

Author : Tina Koziol
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets by : Tina Koziol

Download or read book Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets written by Tina Koziol and published by . This book was released on 2020 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a portfolio balance model to study the effects of Quantitative Easing (QE) on international financial asset returns through the portfolio balance channel. Our two-country model features heterogeneity in assets and investor preferences. Both are crucial for a meaningful model-based impact assessment of QE. Preferences for asset maturity, asset class (bonds, equities and currencies) and whether an asset is issued at home or abroad influence the substitutability of assets, which drives the portfolio balance effect of central bank asset purchases. We calibrate the two countries in our model to the euro area and a representative sample of rest-of-the-world (ROW) countries in order to estimate the international impact of the ECB's asset purchase program announced in January 2015. When simulating our model, we find that central bank asset purchases decrease both domestic and foreign yields. While the effects of QE on domestic yields and the exchange rate are rather modest and smaller than commonly assumed in the literature, domestic stock prices increase substantially.

The Macroeconomic Effects of Quantitative Easing in the Euro Area

Author : Stefan Hohberger
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis The Macroeconomic Effects of Quantitative Easing in the Euro Area by : Stefan Hohberger

Download or read book The Macroeconomic Effects of Quantitative Easing in the Euro Area written by Stefan Hohberger and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Portfolio Selection and Asset Pricing

Author : Shouyang Wang
Publisher : Springer Science & Business Media
ISBN 13 : 3642559344
Total Pages : 260 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Portfolio Selection and Asset Pricing by : Shouyang Wang

Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

The Cambridge Handbook of European Monetary, Economic and Financial Integration

Author : Dariusz Adamski
Publisher : Cambridge University Press
ISBN 13 : 1009364669
Total Pages : 974 pages
Book Rating : 4.0/5 (93 download)

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Book Synopsis The Cambridge Handbook of European Monetary, Economic and Financial Integration by : Dariusz Adamski

Download or read book The Cambridge Handbook of European Monetary, Economic and Financial Integration written by Dariusz Adamski and published by Cambridge University Press. This book was released on 2023-10-12 with total page 974 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by experts in the field, this volume offers an in-depth and forward-looking legal, economic, and political science analysis of the rationale, main features, as well as the shortcomings of European economic, monetary, and financial integration. It is primarily intended for an academic audience and policymakers.

Identification and Inference for Econometric Models

Author : Donald W. K. Andrews
Publisher : Cambridge University Press
ISBN 13 : 9780521844413
Total Pages : 606 pages
Book Rating : 4.8/5 (444 download)

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Book Synopsis Identification and Inference for Econometric Models by : Donald W. K. Andrews

Download or read book Identification and Inference for Econometric Models written by Donald W. K. Andrews and published by Cambridge University Press. This book was released on 2005-06-17 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2005 collection pushed forward the research frontier in four areas of theoretical econometrics.

Managing the Sovereign-Bank Nexus

Author : Mr.Giovanni Dell'Ariccia
Publisher : International Monetary Fund
ISBN 13 : 1484359623
Total Pages : 54 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Managing the Sovereign-Bank Nexus by : Mr.Giovanni Dell'Ariccia

Download or read book Managing the Sovereign-Bank Nexus written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 2018-09-07 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

The Road to Results

Author : Linda G. Morra-Imas
Publisher : World Bank Publications
ISBN 13 : 0821379119
Total Pages : 611 pages
Book Rating : 4.8/5 (213 download)

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Book Synopsis The Road to Results by : Linda G. Morra-Imas

Download or read book The Road to Results written by Linda G. Morra-Imas and published by World Bank Publications. This book was released on 2009 with total page 611 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'The Road to Results: Designing and Conducting Effective Development Evaluations' presents concepts and procedures for evaluation in a development context. It provides procedures and examples on how to set up a monitoring and evaluation system, how to conduct participatory evaluations and do social mapping, and how to construct a "rigorous" quasi-experimental design to answer an impact question. The text begins with the context of development evaluation and how it arrived where it is today. It then discusses current issues driving development evaluation, such as the Millennium Development Goals and the move from simple project evaluations to the broader understandings of complex evaluations. The topics of implementing 'Results-based Measurement and Evaluation' and constructing a 'Theory of Change' are emphasized throughout the text. Next, the authors take the reader down 'the road to results, ' presenting procedures for evaluating projects, programs, and policies by using a 'Design Matrix' to help map the process. This road includes: determining the overall approach, formulating questions, selecting designs, developing data collection instruments, choosing a sampling strategy, and planning data analysis for qualitative, quantitative, and mixed method evaluations. The book also includes discussions on conducting complex evaluations, how to manage evaluations, how to present results, and ethical behavior--including principles, standards, and guidelines. The final chapter discusses the future of development evaluation. This comprehensive text is an essential tool for those involved in development evaluation.

The Lender of Last Resort

Author : Forrest Capie
Publisher : Psychology Press
ISBN 13 : 9780415323338
Total Pages : 502 pages
Book Rating : 4.3/5 (233 download)

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Book Synopsis The Lender of Last Resort by : Forrest Capie

Download or read book The Lender of Last Resort written by Forrest Capie and published by Psychology Press. This book was released on 2007 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: The capacity of national central banks to 'step in' and bail out an economy is one which has proved to be vitally important over the years. This collection from Wood and Capie brings together important literature for the first time in book form.

Research Handbook of Financial Markets

Author : Refet S. Gürkaynak
Publisher : Edward Elgar Publishing
ISBN 13 : 1800375328
Total Pages : 533 pages
Book Rating : 4.8/5 (3 download)

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Book Synopsis Research Handbook of Financial Markets by : Refet S. Gürkaynak

Download or read book Research Handbook of Financial Markets written by Refet S. Gürkaynak and published by Edward Elgar Publishing. This book was released on 2023-05-09 with total page 533 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Research Handbook of Financial Markets carefully discusses the histories and current states of the most important financial markets and institutions, as well as explicitly underscoring open questions that need study. By describing the institutional structure of different markets and highlighting recent changes within them, it accurately highlights their evolving nature.

Government Bonds and their Investors

Author : Mr.Jochen R. Andritzky
Publisher : International Monetary Fund
ISBN 13 : 1475570058
Total Pages : 30 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Government Bonds and their Investors by : Mr.Jochen R. Andritzky

Download or read book Government Bonds and their Investors written by Mr.Jochen R. Andritzky and published by International Monetary Fund. This book was released on 2012-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points.

Global Imbalances

Author : Pietro Cova
Publisher : International Monetary Fund
ISBN 13 : 1451872119
Total Pages : 42 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Global Imbalances by : Pietro Cova

Download or read book Global Imbalances written by Pietro Cova and published by International Monetary Fund. This book was released on 2009-03-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the role played by emerging Asia in the emergence and evolution of the global trade imbalances. Based on simulations in a general equilibrium model of the world economy, we find that a productivity slowdown in the non-tradable sector of these economies in the second half of the 1990s fits regional macroeconomic developments relatively well, but has limited spillover effect to the United States trade balance. In contrast, an increase in the desired level of emerging Asia net foreign assets starting in 2001 not only fits regional developments relatively well, but also has a significant spillover effect to the United States.