Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractPolicy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the amounts of bonds purchased. Simple regression of daily changes in yields on quantities often give insignificant or even positive coefficients and therefore suggest that SMP interventions have been ineffective, or worse counterproductive. We use high frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers, simultaneously, first and second conditional moments of market price returns at daily and intradaily frequency. We find that SMP interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally, the new econometric model is broadly applicable to market intervention studies. JEL Codes: E52 E44 G12 C58Keywords: Unconventional monetary policy; Euro area crisis; SMP; Component models; High frequency data.1 Non-Technical SummaryIn May 2010, the Eurosystem launched the Securities Markets Programme (SMP) to address the malfunctioning of several securities markets, which appeared to threaten the way the policy rates set by the Eurosystem are transmitted to market interest rates of longer maturity and in other market segments, to the real economy and prices. Furthermore, the ECB wanted "to ensure depth and liquidity in those market segments which are dysfunctional. The objective of this programme [was] to address the malfunctioning of securities markets and restore an appropriate monetary policy transmission mechanism". In practice, the Eurosystem started to intervene in the secondary markets of Greek, Irish and Portuguese government bond markets, and from August 2011 extended this to Italian and Spanish government bond markets. This paper assesses the impact of SMP purchases on the price dynamics in the government bond markets of the above sovereigns, and more specifically the impact on the yield changes and their volatility. Given the objective of the programme to address malfunctioning of securities markets, a proper assessment of these aspects is important. The paper hereby looks beyond the programmes impact at announcement which had bee...
In this paper the probability of informed trading (PIN) model developed by Easley and O'Hara is applied to analyse the role and impact of heterogeneities in the euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN that measures the ability of traders to interpret signals on the expected evolution of the overnight rate. Results show that between 2000 and 2004 a heterogeneous learning process of market mechanisms within participants could be observed, whereas such asymmetries have been sharply decreasing since 2005. This is reviewed against some significant events that occurred in the euro money market, such as the reform of the Eurosystem's operational framework in March 2004 and the recent financial market turmoil, which has represented a break in the steady decline of asymmetries as evidence suggest.
Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The refereeing process of this paper has been coordinated by a team composed of Gerhard Rünstler, Kalin Nikolov and Bernd Schwaab (all ECB). Terms of use: Documents in EconStor mayThe paper is released in order to make the research of MaRs generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB or of the ESCB. We then ask whether the cross section of the MES can help to identify ex ante, i.e. before a crisis unfolds, which institutions are the more likely to su¤er the most severe losses ex post, i.e. once it has unfolded. Unfortunately, using the recent crisis as a natural experiment, we …nd that standard balance-sheet metrics like the tier one solvency ratio are better able than the MES to predict equity losses conditionally to a true crisis. AcknowledgementsKeywords: MES, systemic risk, tail correlation, balance sheet ratios, panel.JEL Classi…cation: C5, E44, G2.1 Non technical summaryThe Finally, using the 2007-2009 crisis as a natural experiment, we ask whether the MES as measured before the crisis (i.e. taking an ex ante view) would have been useful to identify which institutions were the most likely to be severely hit should a crisis occur. Based on cross-sectional rank correlations as well as cross-sectional regressions, we conclude that some standard balance-sheet ratios already routinely monitored by regulators, like the ratio of tier-one capital to risk-weighted assets would have been more useful than the MES at predicting which banks were bound to su¤er the most severe equity losses during the crisis.3
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes. Not only the extent but also the asymmetry of inflation risks evolve over time. Moreover, changes in this asymmetry have an impact on future inflation realizations as well as on the current interest rate central banks target.
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