Heterogeneous macro and financial effects of ECB asset purchase programs
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jimonfin.2024.103073
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ben S. Bernanke & Kenneth N. Kuttner, 2005.
"What Explains the Stock Market's Reaction to Federal Reserve Policy?,"
Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports 174, Federal Reserve Bank of New York.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers 10402, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
- Uhlig, Harald, 2005.
"What are the effects of monetary policy on output? Results from an agnostic identification procedure,"
Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
- Uhlig, H.F.H.V.S., 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," Discussion Paper 1999-28, Tilburg University, Center for Economic Research.
- Uhlig, Harald, 1999. "What are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure," CEPR Discussion Papers 2137, C.E.P.R. Discussion Papers.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating asset-market effects of unconventional monetary policy: a multi-country review [Uncertainty of interest rate path as a monetary policy instrument]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(80), pages 749-799.
- Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019.
"Measuring euro area monetary policy,"
Journal of Monetary Economics, Elsevier, vol. 108(C), pages 162-179.
- Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring euro area monetary policy," Working Paper Series 2281, European Central Bank.
- Carlo Altavilla & Luca Brugnolini & Refet S. Gürkaynak & Roberto Motto & Giuseppe Ragusa, 2019. "Measuring Euro Area Monetary Policy," CESifo Working Paper Series 7699, CESifo.
- Altavilla, Carlo & Brugnolini, Luca & Gürkaynak, Refet S. & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring euro area monetary policy," CFS Working Paper Series 624, Center for Financial Studies (CFS).
- Gürkaynak, Refet & Altavilla, Carlo & Brugnolini, Luca & Motto, Roberto & Ragusa, Giuseppe, 2019. "Measuring Euro Area Monetary Policy," CEPR Discussion Papers 13759, C.E.P.R. Discussion Papers.
- Dimitri Vayanos & Jean‐Luc Vila, 2021.
"A Preferred‐Habitat Model of the Term Structure of Interest Rates,"
Econometrica, Econometric Society, vol. 89(1), pages 77-112, January.
- Vayanos, Dimitri & ,, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," CEPR Discussion Papers 7547, C.E.P.R. Discussion Papers.
- Vayanos, Dimitri & Vila, Jean-Luc, 2009. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 29308, London School of Economics and Political Science, LSE Library.
- Jean-Luc Vila & Dimitri Vayanos, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," FMG Discussion Papers dp641, Financial Markets Group.
- Dimitri Vayanos & Jean-Luc Vila, 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates," NBER Working Papers 15487, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
- Fabo, Brian & Jančoková, Martina & Kempf, Elisabeth & Pástor, Ľuboš, 2021.
"Fifty shades of QE: Comparing findings of central bankers and academics,"
Journal of Monetary Economics, Elsevier, vol. 120(C), pages 1-20.
- Brian Fabo & Martina Jančoková & Elisabeth Kempf & Ľuboš Pástor, 2020. "Fifty Shades of QE: Comparing Findings of Central Bankers and Academics," NBER Working Papers 27849, National Bureau of Economic Research, Inc.
- Jančoková, Martina & Pástor, Ľuboš & Fabo, Brian & Kempf, Elisabeth, 2021. "Fifty shades of QE: comparing findings of central bankers and academics," Working Paper Series 2584, European Central Bank.
- Kempf, Elisabeth & Fabo, Brian & Jancokova, Martina & Pástor, Luboš, 2020. "Fifty Shades of QE: Comparing Findings of Central Bankers and Academics," CEPR Discussion Papers 15449, C.E.P.R. Discussion Papers.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011.
"The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
- Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007.
"Exploring the international linkages of the euro area: a global VAR analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2004. "Exploring the International Linkages of the Euro Area: A Global VAR Analysis," IEPR Working Papers 04.6, Institute of Economic Policy Research (IEPR).
- Dees, S. & di Mauro, F. & Pesaran, M.H. & Smith, L.V., 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Cambridge Working Papers in Economics 0518, Faculty of Economics, University of Cambridge.
- Dées, Stéphane & di Mauro, Filippo & Pesaran, Hashem & Smith, Vanessa, 2005. "Exploring the international linkages of the euro area: a global VAR analysis," Working Paper Series 568, European Central Bank.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2006. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," Computing in Economics and Finance 2006 47, Society for Computational Economics.
- Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo.
- Kuttner, Kenneth N., 2001.
"Monetary policy surprises and interest rates: Evidence from the Fed funds futures market,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
- Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
- Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010.
"Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
- Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," FRB Atlanta Working Paper 2008-18, Federal Reserve Bank of Atlanta.
- Schenkelberg, Heike & Watzka, Sebastian, 2013.
"Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan,"
Journal of International Money and Finance, Elsevier, vol. 33(C), pages 327-357.
- Heike Schenkelberg & Sebastian Watzka, 2011. "Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan," CESifo Working Paper Series 3486, CESifo.
- Schenkelberg, Heike & Watzka, Sebastian, 2013. "Real effects of quantitative easing at the zero lower bound: Structural VAR-based evidence from Japan," Munich Reprints in Economics 19757, University of Munich, Department of Economics.
- Watzka, Sebastian & Schenkelberg, Heike, 2011. "Real effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based evidence from Japan," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48687, Verein für Socialpolitik / German Economic Association.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019.
"Do SVARs with sign restrictions not identify unconventional monetary policy shocks?,"
Working Papers
1926, Banco de España.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks?," BIS Working Papers 788, Bank for International Settlements.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with Sign Restrictions Not Identify Unconventional Monetary Policy Shocks?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 19/973, Ghent University, Faculty of Economics and Business Administration.
- Jef Boeckx & Maarten Dossche & Alessandro Galesi & Boris Hofmann & Gert Peersman, 2019. "Do SVARs with sign restrictions not identify unconventional monetary policy shocks ?," Working Paper Research 372, National Bank of Belgium.
- Emi Nakamura & Jón Steinsson, 2018.
"High-Frequency Identification of Monetary Non-Neutrality: The Information Effect,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
- Emi Nakamura & Jón Steinsson, 2013. "High Frequency Identification of Monetary Non-Neutrality: The Information Effect," NBER Working Papers 19260, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2018.
"Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments,"
Economic Journal, Royal Economic Society, vol. 128(610), pages 917-948, May.
- James H. Stock & Mark W. Watson, 2018. "Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments," NBER Working Papers 24216, National Bureau of Economic Research, Inc.
- Jonathan H. Wright, 2012.
"What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?,"
Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
- Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
- repec:oup:ecpoli:v:29:y:2014:i:80:p:749-799 is not listed on IDEAS
- Marcel Fratzscher & Marco Lo Duca & Roland Straub, 2016. "ECB Unconventional Monetary Policy: Market Impact and International Spillovers," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 64(1), pages 36-74, May.
- Mark Gertler & Peter Karadi, 2015.
"Monetary Policy Surprises, Credit Costs, and Economic Activity,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
- Mark Gertler & Peter Karadi, 2013. "Monetary Policy Surprises, Credit Costs and Economic Activity," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
- Gertler, Mark & Karadi, Peter, 2014. "Monetary Policy Surprises, Credit Costs and Economic Activity," CEPR Discussion Papers 9824, C.E.P.R. Discussion Papers.
- Peter Karadi & Mark Gertler, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," 2015 Meeting Papers 447, Society for Economic Dynamics.
- Mark Gertler & Peter Karadi, 2014. "Monetary Policy Surprises, Credit Costs and Economic Activity," NBER Working Papers 20224, National Bureau of Economic Research, Inc.
- Fabian Eser & Wolfgang Lemke & Ken Nyholm & Sören Radde & Andreea Liliana Vladu, 2023.
"Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 359-422, August.
- Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019. "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series 2293, European Central Bank.
- Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Vladu, Andreea, 2020. "Tracing the impact of the ECB's asset purchase programme on the yield curve," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224540, Verein für Socialpolitik / German Economic Association.
- Marek Jarociński & Peter Karadi, 2020.
"Deconstructing Monetary Policy Surprises—The Role of Information Shocks,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 12(2), pages 1-43, April.
- Karadi, Peter & Jarocinski, Marek, 2018. "Deconstructing Monetary Policy Surprises - The Role of Information Shocks," CEPR Discussion Papers 12765, C.E.P.R. Discussion Papers.
- Jarociński, Marek & Karadi, Peter, 2018. "Deconstructing monetary policy surprises: the role of information shocks," Working Paper Series 2133, European Central Bank.
- Hachula, Michael & Piffer, Michele & Rieth, Malte, 2020.
"Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances,"
EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 18(1), pages 202-231.
- Michael Hachula & Michele Piffer & Malte Rieth, 2020. "Unconventional Monetary Policy, Fiscal Side Effects, and Euro Area (Im)balances," Journal of the European Economic Association, European Economic Association, vol. 18(1), pages 202-231.
- Hachula, Michael & Rieth, Malte & Piffer, Michele, 2016. "Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances," VfS Annual Conference 2016 (Augsburg): Demographic Change 145790, Verein für Socialpolitik / German Economic Association.
- Michael Hachula & Michele Piffer & Malte Rieth, 2016. "Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances," Discussion Papers of DIW Berlin 1596, DIW Berlin, German Institute for Economic Research.
- Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
- Cieslak, Anna & Schrimpf, Andreas, 2019.
"Non-monetary news in central bank communication,"
Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 293-315, National Bureau of Economic Research, Inc.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-Monetary News in Central Bank Communication," NBER Working Papers 25032, National Bureau of Economic Research, Inc.
- Anna Cieslak & Andreas Schrimpf, 2018. "Non-monetary news in central bank communication," BIS Working Papers 761, Bank for International Settlements.
- repec:ulb:ulbeco:2013/13388 is not listed on IDEAS
- Canova, Fabio & Nicolo, Gianni De, 2002.
"Monetary disturbances matter for business fluctuations in the G-7,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1131-1159, September.
- Fabio Canova & Gianni De Nicolo, 2000. "Monetary disturbances matter for business fluctuations in the G-7," International Finance Discussion Papers 660, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Durante, Elena & Ferrando, Annalisa & Vermeulen, Philip, 2022.
"Monetary policy, investment and firm heterogeneity,"
European Economic Review, Elsevier, vol. 148(C).
- Ferrando, Annalisa & Vermeulen, Philip & Durante, Elena, 2020. "Monetary policy, investment and firm heterogeneity," Working Paper Series 2390, European Central Bank.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Weale, Martin & Wieladek, Tomasz, 2016.
"What are the macroeconomic effects of asset purchases?,"
Journal of Monetary Economics, Elsevier, vol. 79(C), pages 81-93.
- Weale, Martin & Wieladek, Tomasz, 2015. "What are the macroeconomic effects of asset purchases?," CEPR Discussion Papers 10495, C.E.P.R. Discussion Papers.
- Wales, Martin & Wieladek, Tomasz, 2015. "What are the macroeconomic effects of asset purchases?," Discussion Papers 42, Monetary Policy Committee Unit, Bank of England.
- Pesaran M.H. & Schuermann T. & Weiner S.M., 2004.
"Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
- Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2002. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Center for Financial Institutions Working Papers 01-38, Wharton School Center for Financial Institutions, University of Pennsylvania.
- M. Hashem Pesaran & Til Schuermann & Scott M. Weiner, 2001. "Modelling regional interdependencies using a global error-correcting macroeconometric model," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B4-1, International Conferences on Panel Data.
- PESARAN M. Hashem & SCHUERMANN Til & WEINER Scott, 2010. "Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model," EcoMod2003 330700121, EcoMod.
- Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005.
"Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
- Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2004. "Do actions speak louder than words? the response of asset prices to monetary policy actions and statements," Finance and Economics Discussion Series 2004-66, Board of Governors of the Federal Reserve System (U.S.).
- Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, University Library of Munich, Germany.
- Gurkaynak, Refet S & Sack, Brian & Swanson, Eric T, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," MPRA Paper 820, University Library of Munich, Germany.
- Refet Gürkaynak & Brian Sack, 2005. "Do Actions Speak Louder Than Words?The Response of Asset Prices to Monetary Policy Actions and Statements," Computing in Economics and Finance 2005 323, Society for Computational Economics.
- Jef Boeckx & Maarten Dossche & Gert Peersman, 2017.
"Effectiveness and Transmission of the ECB's Balance Sheet Policies,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 297-333, February.
- Jef Boeckx & Maarten Dossche & Gert Peersman, 2014. "Effectiveness and Transmission of the ECB's Balance Sheet Policies," CESifo Working Paper Series 4907, CESifo.
- Jef Boeckx & Maarten Dossche & Gert Peersman, 2014. "Effectiveness and transmission of the ECB’s balance sheet policies," Working Paper Research 275, National Bank of Belgium.
- Jef Boeckx & Maarten Dossche & Gert Peersman, 2014. "Effectiveness and Transmission of the ECB’s Balance Sheet Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/887, Ghent University, Faculty of Economics and Business Administration.
- Karel Mertens & Morten O. Ravn, 2013.
"The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States,"
American Economic Review, American Economic Association, vol. 103(4), pages 1212-1247, June.
- Ravn, Morten & Mertens, Karel, 2011. "The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States," CEPR Discussion Papers 8554, C.E.P.R. Discussion Papers.
- Morten Ravn & Karel Mertens, 2012. "The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States," 2012 Meeting Papers 638, Society for Economic Dynamics.
- Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
- Andrade, Philippe & Ferroni, Filippo, 2021.
"Delphic and odyssean monetary policy shocks: Evidence from the euro area,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
- Philippe Andrade & Filippo Ferroni, 2016. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," School of Economics Discussion Papers 1216, School of Economics, University of Surrey.
- Philippe Andrade & Filippo Ferroni, 2019. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Papers 19-17, Federal Reserve Bank of Boston.
- Filippo Ferroni, 2018. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," 2018 Meeting Papers 60, Society for Economic Dynamics.
- Philippe Andrade & Filippo Ferroni, 2018. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Paper Series WP-2018-12, Federal Reserve Bank of Chicago.
- Mamaysky, Harry, 2018. "The time horizon of price responses to quantitative easing," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 32-49.
- Kerssenfischer, Mark, 2019.
"Information effects of euro area monetary policy: New evidence from high-frequency futures data,"
Discussion Papers
07/2019, Deutsche Bundesbank.
- Kerssenfischer, Mark, 2019. "Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203524, Verein für Socialpolitik / German Economic Association.
- Swanson, Eric T., 2021.
"Measuring the effects of federal reserve forward guidance and asset purchases on financial markets,"
Journal of Monetary Economics, Elsevier, vol. 118(C), pages 32-53.
- Eric Swanson, 2016. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," 2016 Meeting Papers 1222, Society for Economic Dynamics.
- Eric T. Swanson, 2017. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," NBER Working Papers 23311, National Bureau of Economic Research, Inc.
- Mikkel Plagborg‐Møller & Christian K. Wolf, 2021.
"Local Projections and VARs Estimate the Same Impulse Responses,"
Econometrica, Econometric Society, vol. 89(2), pages 955-980, March.
- Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
- Marek Jarocinski & Peter Karadi, 2017.
"Central Bank Information Shocks,"
2017 Meeting Papers
1193, Society for Economic Dynamics.
- Jarociński, Marek & Karadi, Peter, 2018. "Deconstructing monetary policy surprises: the role of information shocks," Working Paper Series 2133, European Central Bank.
- Karadi, Peter & Jarocinski, Marek, 2018. "Deconstructing Monetary Policy Surprises - The Role of Information Shocks," CEPR Discussion Papers 12765, C.E.P.R. Discussion Papers.
- Haitsma, Reinder & Unalmis, Deren & de Haan, Jakob, 2016. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 101-116.
- Burriel, Pablo & Galesi, Alessandro, 2018.
"Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries,"
European Economic Review, Elsevier, vol. 101(C), pages 210-229.
- Pablo Burriel & Alessandro Galesi, 2016. "Uncovering the heterogeneous effects of ecb unconventional monetary policies across euro area countries," Working Papers 1631, Banco de España.
- Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2014.
"The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross‐Country Analysis,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 615-642, June.
- L. Gambacorta & B. Hofmann & G. Peersman, 2011. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/765, Ghent University, Faculty of Economics and Business Administration.
- Leonardo Gambacorta & Boris Hofmann & Gert Peersman, 2012. "The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound: A Cross-Country Analysis," BIS Working Papers 384, Bank for International Settlements.
- Michael D. Bauer & Glenn D. Rudebusch, 2014.
"The Signaling Channel for Federal Reserve Bond Purchases,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 233-289, September.
- Michael D. Bauer & Glenn D. Rudebusch, 2011. "The signaling channel for Federal Reserve bond purchases," Working Paper Series 2011-21, Federal Reserve Bank of San Francisco.
- Georgiadis, Georgios & Gräb, Johannes, 2016. "Global financial market impact of the announcement of the ECB's asset purchase programme," Journal of Financial Stability, Elsevier, vol. 26(C), pages 257-265.
- Breckenfelder, Johannes & De Fiore, Fiorella & Andrade, Philippe & Karadi, Peter & Tristani, Oreste, 2016. "The ECB's asset purchase programme: an early assessment," Working Paper Series 1956, European Central Bank.
- Georgiadis, Georgios, 2015. "Examining asymmetries in the transmission of monetary policy in the euro area: Evidence from a mixed cross-section global VAR model," European Economic Review, Elsevier, vol. 75(C), pages 195-215.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Jeffrey R. Campbell & Charles L. Evans & Jonas D.M. Fisher & Alejandro Justiniano, 2012.
"Macroeconomic Effects of Federal Reserve Forward Guidance,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(1 (Spring), pages 1-80.
- Jeffrey R. Campbell & Charles L. Evans & Jonas D. M. Fisher & Alejandro Justiniano, 2012. "Macroeconomic effects of Federal Reserve forward guidance," Working Paper Series WP-2012-03, Federal Reserve Bank of Chicago.
- Lewis, Vivien & Roth, Markus, 2019.
"The financial market effects of the ECB's asset purchase programs,"
Journal of Financial Stability, Elsevier, vol. 43(C), pages 40-52.
- Lewis, Vivien & Roth, Markus, 2017. "The financial market effects of the ECB's asset purchase programs," Discussion Papers 23/2017, Deutsche Bundesbank.
- David O. Lucca & Emanuel Moench, 2015.
"The Pre-FOMC Announcement Drift,"
Journal of Finance, American Finance Association, vol. 70(1), pages 329-371, February.
- David O. Lucca & Emanuel Moench, 2011. "The pre-FOMC announcement drift," Staff Reports 512, Federal Reserve Bank of New York.
- Reinder Haitsma & Deren Unalmis & Jakob de Haan, 2016. "The Impact of the ECB�s Conventional and Unconventional Monetary Policies on Stock Markets," Working Papers 1605, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Barbara Rossi, 2018.
"Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?,"
Economics Working Papers
1641, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2020.
- Barbara Rossi, 2019. "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?," Working Papers 1081, Barcelona School of Economics.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2018.
"Unconventional Monetary Policy and International Risk Premia,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(8), pages 1827-1850, December.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2016. "Unconventional Monetary Policy and International Risk Premia," International Finance Discussion Papers 1172, Board of Governors of the Federal Reserve System (U.S.).
- Mark Gertler & Peter Karadi, 2013. "QE 1 vs. 2 vs. 3. . . : A Framework for Analyzing Large-Scale Asset Purchases as a Monetary Policy Tool," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 5-53, January.
- Jonas E. Arias & Juan F. Rubio‐Ramírez & Daniel F. Waggoner, 2018. "Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications," Econometrica, Econometric Society, vol. 86(2), pages 685-720, March.
- İshak Demi̇r & Burak A. Eroğlu & Seçi̇l Yildirim‐Karaman, 2022.
"Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1425-1457, August.
- Demir, Ishak & Eroglu, Burak A. & Yildirim-Karaman, Secil, 2021. "Heterogeneous effects of unconventional monetary policy on bond yields across the euro area," LEAF Working Paper Series 19-06, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), revised 2021.
- Pascal Paul, 2020.
"The Time-Varying Effect of Monetary Policy on Asset Prices,"
The Review of Economics and Statistics, MIT Press, vol. 102(4), pages 690-704, October.
- Pascal Paul, 2019. "The Time-Varying Effect of Monetary Policy on Asset Prices," Working Paper Series 2017-09, Federal Reserve Bank of San Francisco.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
- repec:ecb:ecbdps:20161 is not listed on IDEAS
- Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
- Breitenlechner, Max & Gründler, Daniel & Scharler, Johann, 2021. "Unconventional monetary policy announcements and information shocks in the U.S," Journal of Macroeconomics, Elsevier, vol. 67(C).
- Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
- Stéphane Lhuissier & Urszula Szczerbowicz, 2022.
"Monetary Policy and Corporate Debt Structure,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 497-515, June.
- Stépahne Lhuissier & Urszula Szczerbowicz, 2018. "Monetary Policy and Corporate Debt Structure," Working papers 697, Banque de France.
- Stéphane Lhuissier & Urszula Szczerbowicz, 2022. "Monetary Policy and Corporate Debt Structure," Post-Print hal-04459541, HAL.
- Martin Baumgärtner & Jens Klose, 2021. "Why central banks announcing liquidity injections is more effective than forward guidance," International Finance, Wiley Blackwell, vol. 24(2), pages 236-256, August.
- Pagliari, Maria Sole, 2024.
"Does one (unconventional) size fit all? Effects of the ECB’s unconventional monetary policies on the euro area economies,"
European Economic Review, Elsevier, vol. 168(C).
- Maria Sole Pagliari, 2021. "Does one (unconventional) size fit all? Effects of the ECB's unconventional monetary policies on the euro area economies," Working papers 829, Banque de France.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
- Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
- Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy: Identification through the yield curve," Bank of Finland Research Discussion Papers 3/2020, Bank of Finland.
- Karau, Sören, 2021. "Monetary policy and Bitcoin," Discussion Papers 41/2021, Deutsche Bundesbank.
- Fanelli, Luca & Marsi, Antonio, 2022. "Sovereign spreads and unconventional monetary policy in the Euro area: A tale of three shocks," European Economic Review, Elsevier, vol. 150(C).
- Luca Fanelli & Antonio Marsi, 2021. "Unconventional Monetary Policy in the Euro Area: A Tale of Three Shocks," Working Papers wp1164, Dipartimento Scienze Economiche, Universita' di Bologna.
- Jarociński, Marek, 2022.
"Central bank information effects and transatlantic spillovers,"
Journal of International Economics, Elsevier, vol. 139(C).
- Jarociński, Marek, 2020. "Central bank information effects and transatlantic spillovers," Working Paper Series 2482, European Central Bank.
- Blotevogel, Robert & Hudecz, Gergely & Vangelista, Elisabetta, 2024. "Asset purchases and sovereign bond spreads in the euro area during the pandemic," Journal of International Money and Finance, Elsevier, vol. 140(C).
- Kerssenfischer, Mark, 2019.
"Information Effects of Euro Area Monetary Policy: New evidence from high-frequency futures data,"
VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy
203524, Verein für Socialpolitik / German Economic Association.
- Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
- repec:zbw:bofrdp:2020_003 is not listed on IDEAS
- Mody, Ashoka & Nedeljkovic, Milan, 2024. "Central bank policies and financial markets: Lessons from the euro crisis," Journal of Banking & Finance, Elsevier, vol. 158(C).
- Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
- Kortela, Tomi & Nelimarkka, Jaakko, 2020. "The effects of conventional and unconventional monetary policy : identification through the yield curve," Research Discussion Papers 3/2020, Bank of Finland.
- Maciej Stefański, 2021. "Macroeconomic Effects of Quantitative Easing Using Mid-sized Bayesian Vector Autoregressions," KAE Working Papers 2021-068, Warsaw School of Economics, Collegium of Economic Analysis.
- Boeck, Maximilian & Feldkircher, Martin, 2021. "The Impact of Monetary Policy on Yield Curve Expectations," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 887-901.
More about this item
Keywords
Unconventional monetary policy; Financial markets; Heterogeneity; Structural vector autoregression;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000603. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.