scholarly journals Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices.

2016 ◽  
Author(s):  
Ralph S. J. Koijen ◽  
Francois Koulischer ◽  
Benoot Nguyen ◽  
Motohiro Yogo
Keyword(s):  
Euro Area ◽  
Asset Prices ◽  
Quantitative Easing ◽  
The Impact

scholarly journals Quantitative Easing, Collateral Constraints, and Financial Spillovers

2020 ◽  
Vol 12 (4) ◽  
pp. 180-217 ◽  
Author(s):  
John Geanakoplos ◽  
Haobin Wang
Keyword(s):  
Central Bank ◽  
Capital Flows ◽  
Asset Prices ◽  
Quantitative Easing ◽  
Collateral Constraints ◽  
The Impact ◽  
Portfolio Shifts ◽  
Nonmonotonic Effects ◽  
Foreign Assets

The steady application of quantitative easing (QE ) has been followed by big and nonmonotonic effects on international asset prices and capital flows. We rationalize these observations in a model in which a central bank buys domestic assets that serve as the best collateral for investors worldwide. The crucial insight is that domestic private agents adjust their portfolios of domestic and foreign assets in different ways to offset QE, conditional on whether they are (i) fully leveraged, (ii ) partially leveraged, or (iii) unleveraged. These portfolio shifts can diminish or even reverse the impact of ever-larger QE interventions on asset prices. (JEL E31, E32, E43, E44, E52, E58, F34)

scholarly journals MONETARY POLICY IN CRISIS

2020 ◽  
Author(s):  
Yuriy Nikolayev ◽  
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Financial Performance ◽  
Interest Rates ◽  
Euro Area ◽  
Debt Crisis ◽  
Emerging Market ◽  
Quantitative Easing ◽  
Bank Of Japan ◽  
The Impact

The article is devoted to the study of conditions of application and influence of non-traditional monetary policy of central banks of developed countries on national economies and economies of emerging market countries. Based on critical analysis and systematization of basic research on the analysis of non-traditional monetary policy and its impact on the economies of different countries, it is substantiated that non-traditional monetary policy is a set of measures aimed at restoring the transmission mechanism and eliminating financial market imbalances. The main tools of non-traditional monetary policy are - previous management, quantitative easing; credit easing; negative interest rates, qualitative mitigation. Relevant areas of research on the financial performance of economies were also justified, as monetary policy directly affects interest rates, money supply, exchange rates, availability of credit, and through the financial sector to other sectors of the economy. During the aggravation of the economic and debt crisis, which had a negative impact on the Eurozone countries, investors' interest in CEE countries increased due to higher interest rates and the opportunity to make more profits. The study of the impact of the ECB's monetary policy on the financial indicators of Central and Eastern Europe revealed that the ECB's unconventional policy, including quantitative easing aimed at lowering long-term interest rates, affected the yield on government bonds of almost all EU countries, not only member states. euro area, which generally declined after 2014. Non-traditional monetary policy and an increase in the ECB's balance sheet also affect investment flows to CEE countries, but are mainly debt instruments in both direct and portfolio investment. The opposite situation is observed in the Eurozone countries with a high debt burden, especially in Greece and Italy. Despite the fact that the ECB's policy has led the euro area countries with a high level of debt to reduce the debt-to-GDP ratio, there is a tendency to increase the share of public debt payments to GDP. In this situation, the ECB simply cannot significantly change the purpose of its monetary policy, because any, even small, increase in the discount rate will lead to a new debt crisis in the Eurozone with its epicenter in Italy and Greece. The study of the impact of non-traditional policies of the Bank of Japan, the Fed and the ECB on the economy of Ukraine confirms the hypothesis that the actions of the ECB have the greatest impact on the financial performance of Ukraine. The analysis shows the impact of non-traditional monetary policy on the exchange rate of the Ukrainian hryvnia to the euro, US dollar and Japanese yen, but it was not significant. This is due to the fact that monetary policy in Ukraine only in 2015 actually moved from a fixed exchange rate to a floating exchange rate and began to apply inflation targeting. Announcements of non-traditional monetary policy have also affected government bond yields and stock indices, but the Ukrainian stock market is underdeveloped and has little effect. The main influence was the first programs of non-traditional monetary policy of the ECB, the USA and the Bank of Japan. In times when non-traditional measures were just being introduced and difficult to regulate and predict. Thus, it was proved that, on the one hand, unconventional monetary policy can stimulate economic growth, and on the other hand, create significant risks for further monetary policy opportunities to counter future crises.

scholarly journals The Impact of Monetary Policies on the Sustainable Economic and Financial Development in the Euro Area Countries

2020 ◽  
Vol 12 (22) ◽  
pp. 9367
Author(s):  
Dana Kiseľáková ◽  
Paulina Filip ◽  
Erika Onuferová ◽  
Tomáš Valentiny
Keyword(s):  
Financial Markets ◽  
Financial Development ◽  
Euro Area ◽  
Quantitative Easing ◽  
Government Bond ◽  
Bond Yields ◽  
Monetary Policies ◽  
Goods And Services ◽  
European Central ◽  
The Impact

One of the responses of the monetary policies of central banks to the sustainable development on financial markets, which also affected other markets and economic growth, is the role of non-standard monetary policies, referred to as quantitative easing in the form of Asset Purchase Programme. In this paper, the following main research problem was addressed: How can the Asset Purchase Programme help the European Central Bank fulfill its mandate of supervising the financial stability and financial development? Based on this, we formulated the main objective: to identify the impact of monetary policies on the dynamics of financial markets development, labor markets, and the markets for goods and services. As part of the applied methodology, the impact of the quantitative easing on the government bond yields curve was based on an indirect assessment using the seemingly unrelated regression model, considering the use of parameters from the functional benchmark form. Through the vector error correction model, another additional impact of the application of the monetary policy mechanisms on selected indicators of the considered markets was identified. The relationship between financial markets and economic growth was determined on the basis of the two-stage least square model using endogeneity control instruments. Applying the changes identified by the above models allowed us to determine the expected change in the rate of growth of the aggregate output of the euro area countries. Based on our results, we found out that Asset Purchase Programme had an impact on the growth of government bond yields issued by euro area countries, on lowering the risk rate on corporate bond markets, and increasing the nominal value of shares. In addition, growth in inflation and a decline in interest rates were affected. Finally, the European Central Bank (ECB)’s non-standard monetary policies have positively affected and stimulated the labor market and development in goods and services markets, referred to the sustainable financial development.

The Impact of Quantitative Easing on Emerging Markets – Literature Review

e-Finanse ◽  
2018 ◽  
Vol 14 (4) ◽  
pp. 67-76
Author(s):  
Piotr Bartkiewicz
Keyword(s):  
Emerging Markets ◽  
Large Scale ◽  
Empirical Literature ◽  
Quantitative Easing ◽  
Methodological Choices ◽  
The Subject ◽  
Methodological Approaches ◽  
The Impact ◽  
Sufficient Precision

AbstractThe article presents the results of the review of the empirical literature regarding the impact of quantitative easing (QE) on emerging markets (EMs). The subject is of interest to policymakers and researchers due to the increasingly larger role of EMs in the world economy and the large-scale capital flows occurring after 2009. The review is conducted in a systematic manner and takes into consideration different methodological choices, samples and measurement issues. The paper puts the summarized results in the context of transmission channels identified in the literature. There are few distinct methodological approaches present in the literature. While there is a consensus regarding the direction of the impact of QE on EMs, its size and durability have not yet been assessed with sufficient precision. In addition, there are clear gaps in the empirical findings, not least related to relative underrepresentation of the CEE region (in particular, Poland).

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

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