scholarly journals Time-Varying Wage Phillips Curves in the Euro Area with a New Measure for Labor Market Slack

2018 ◽  
Author(s):  
Dennis Bonam ◽  
Jakob <!>de Haan ◽  
Duncan Van Limbergen
Keyword(s):  
Labor Market ◽  
Euro Area ◽  
Time Varying

scholarly journals The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic

2021 ◽  
Author(s):  
George Hondroyiannis ◽  
Dimitrios Papaoikonomou
Keyword(s):  
Euro Area ◽  
Credit Ratings ◽  
Evidence Based ◽  
Time Varying ◽  
Safe Haven ◽  
Sharp Decline ◽  
Bond Yields ◽  
Perceptions Of Risk ◽  
Sovereign Bond ◽  
Sovereign Bonds

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09 to 2020m12. During 2020 APP contributed to an average decline in yields estimated in the range of 58-76 bps. In December 2020 the effect per EUR trillion ranged between 34 bps in Germany and 159 bps in Greece. Stronger effects generally display diminishing returns. Our findings suggest that a sharp decline in the size of the APP in the aftermath of the COVID-19 crisis could lead to very sharp increases in bond yields, particularly in peripheral countries. The analysis additionally reveals a differential response to global risks between core and peripheral countries, with the former enjoying safe-haven benefits. Markets’ perceptions of risk are found to be significantly affected by credit ratings, which is in line with recent evidence based on constant parameter methods.

scholarly journals On the time-varying nature of the debt-growth nexus: evidence from the euro area

2017 ◽  
Vol 25 (9) ◽  
pp. 597-600 ◽  
Author(s):  
Marta Gómez-Puig ◽  
Simón Sosvilla-Rivero
Keyword(s):  
Euro Area ◽  
Time Varying

scholarly journals A time-varying “natural” rate of interest for the euro area

2007 ◽  
Vol 51 (7) ◽  
pp. 1768-1784 ◽  
Author(s):  
Jean-Stéphane Mésonnier ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Time Varying ◽  
Natural Rate ◽  
Natural Rate Of Interest
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