Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area

Altavilla, Carlo; Carboni, Giacomo; Motto, Roberto

doi:10.2139/ssrn.2717398

Cited by 113 publications

(58 citation statements)

References 21 publications

(48 reference statements)

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“…Similar situations have been recently taken into consideration by a series the Central European Bank procedures, with particular reference to the well known quantitative easing, as well as in agreement to the creation of injected currency, see, e.g., [2,3,8,19]. We would like to underline that quantitative easing type procedures have been experienced also outside the European Union, as in the case of the actions undertaken by the Japanese Central Bank, whose intervention has lasted over years, see, e.g.…”

Section: Introductionmentioning

confidence: 90%

“…a central bank, can change the interest rate according to macroeconomic variables, as the country inflation level, the forecast of supranational interest rates, the the markets' belief about the health of the financial sector under the central bank control, etc. In fact, choosing α = 0 the bank value grows at rate µ(t), which is strictly greater than µ(t) − α(t) for a given control 0 < α(t) ≤ r. We refer to the above discussion, see also, e.g., [2,3,8,9,47,37,19], for more financially oriented ideas supporting the latter setting. Accordingly, we can assume that the controller aims at maximizing a functional of the following type…”

Section: The General Settingmentioning

confidence: 99%

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A bank salvage model by impulse stochastic controls

Cordoni¹,

Persio²,

Jiang³

2019

Preprint

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The present paper is devoted to the study of a bank salvage model with finite time horizon and subjected to stochastic impulse controls. In our model, the bank's default time is a completely inaccessible random quantity generating its own filtration, then reflecting the unpredictability of the event itself. In this framework the main goal is to minimize the total cost of the central controller who can inject capitals to save the bank from default. We address the latter task showing that the corresponding quasivariational inequality (QVI) admits a unique viscosity solution, Lipschitz continuous in space and Hölder continuous in time. Furthermore, under mild assumptions on the dynamics the smooth-fit W(1,2),p loc property is achieved for any 1 < p < +∞.

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Section: Introductionmentioning

confidence: 90%

Section: The General Settingmentioning

confidence: 99%

A bank salvage model by impulse stochastic controls

Cordoni¹,

Persio²,

Jiang³

2019

Preprint

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“…The effects on the bond yield are comparable to effects determined in other studies. For example, Altavilla et al (2015) find a reduction of 37 basis points two days after APP announcements for German Bund yields at 20-year maturities and a reduction of 44 basis points or Spanish CDS-adjusted yields. For the UK, Joyce et al (2011) find a cumulative impact of QE announcements between February 2009 and February 2010 on gilt yields of almost 100 basis points.…”

Section: Responses Of Macro Variablesmentioning

confidence: 99%

“…Several studies provide empirical support for the transmission of monetary policy measures via the duration channel. For the euro area, Altavilla, Carboni, and Motto (2015) use an event study approach to evaluate the effects of the APP through different transmission channels, including the duration channel. They find that APP announcements lower the whole term structure of the assets analysed (the Bund and, in a broader definition of the duration channel, across all long-term duration bonds measured in CDS-adjusted sovereign bond yields of selected euro area countries) by lowering the duration risk in the market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…13 Announcement effects are usually estimated by event studies, which focus on the effects of policy announcements on financial market prices based on high frequency data (see e.g. Altavilla, Carboni, and Motto 2015). Such studies are mostly confined to a very short window over which the effects of the event are measured and thus do not capture the persistence of the effects.…”

Section: Balance Sheet Dimensions and Metricsmentioning

confidence: 99%

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The impact of size, composition and duration of the central bank balance sheet on inflation expectations and market prices

Titzck

End

2021

The European Journal of Finance

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The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty

Chebbi

2020

Int. J Fin Econ

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This article examines the relationship between the unconventional monetary policies and precious metal futures markets by employing an asymmetric conditional volatility specification. The results suggest that the Fed announcements that likely induced lower long‐term yields on average led to significant increases in the returns, while the effect of the ECB's unconventional monetary announcements is much weaker. Also, monetary policy surprises from both Fed and ECB have larger effects on gold return volatility. Moreover, while there are no asymmetric return responses to positive and negative surprises embedded in the monetary policy from the Euro zone, the return reactions of price returns to surprises in Fed's announcements exhibit asymmetry. Furthermore, our analysis shows that the volatility reactions are limited to negative surprises. Finally, we find evidence that the response of gold price changes to monetary announcements by the Fed becomes weaker in the presence of monetary policy uncertainty. We show also that the response of precious metal returns hinges on the sign of the unexpected component of Fed announcements.

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Asset Purchase Programmes and Financial Markets: Lessons from the Euro Area

Cited by 113 publications

References 21 publications

A bank salvage model by impulse stochastic controls

A bank salvage model by impulse stochastic controls

The impact of size, composition and duration of the central bank balance sheet on inflation expectations and market prices

The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty

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