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The Impact of ECB Monetary Policy on Stock and Bond Market Liquidity. The Case of Germany

2016-01-18 Business & Economics
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Release : 2016-01-18
Genre : Business & Economics
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Book Rating : 771/5 ( reviews)

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Book Synopsis The Impact of ECB Monetary Policy on Stock and Bond Market Liquidity. The Case of Germany by : Terence Kappeln

Download or read book The Impact of ECB Monetary Policy on Stock and Bond Market Liquidity. The Case of Germany written by Terence Kappeln. This book was released on 2016-01-18. Available in PDF, EPUB and Kindle. Book excerpt: Bachelor Thesis from the year 2015 in the subject Economics - Finance, grade: 1,0, Vienna University of Economics and Business (Finance and Accounting), language: English, abstract: During the financial crisis and the following Eurozone crisis, liquidity in financial markets basically froze and became a problem for the real economy. Therefore, market liquidity became one of the major concerns of the ECB, which applied non-standard measures, e.g. irregular asset purchasing programmes. This paper sheds light on the impact of monetary policy on liquidity levels of the DAX 30 equity index and German 10-year government bonds. For the following analysis, the monetary policy impacts are estimated using the base money growth rate and EONIA rate, whereas the relative bid-ask spread is employed for measuring liquidity levels. The research method includes literature-based research about common market liquidity theories, a short timeline of important ECB monetary policy decisions, descriptive statistics on liquidity levels and monetary policy variables and a VAR analysis, including variables spreads, returns, volatilities, industrial production and inflation. The results indicate that a decrease (increase) in stock market liquidity or an increase (decrease) in bondmarket volatility lead to a decrease (increase) of EONIA. Furthermore, decreases (increases) in stock return or industrial production result in a decrease (increase) of EONIA. However, base money growth is positively correlated only to changes in bond market volatility. Overall, the results suggest that the monetary policy decisions by the ECB are influenced by changing market conditions without the ability to forecast liquidity levels.

The effects of the ECB's public and corporate bond purchases. An event study examining the German financial market in comparison to the G7-group

2018-07-30 Business & Economics
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Release : 2018-07-30
Genre : Business & Economics
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Book Rating : 876/5 ( reviews)

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Book Synopsis The effects of the ECB's public and corporate bond purchases. An event study examining the German financial market in comparison to the G7-group by : Dominic Fänders

Download or read book The effects of the ECB's public and corporate bond purchases. An event study examining the German financial market in comparison to the G7-group written by Dominic Fänders. This book was released on 2018-07-30. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,7, University of St Andrews (School of Management), language: English, abstract: This study quantifies the financial market impact of the ECB’s public and corporate bond purchase programs from January 2015 to June 2016. The conducted event study analyses eleven announcement events and their influence on government bonds, corporate bonds, exchange rates and equity markets. The focus lies on the German market, although all other G7 countries are included for reasons of comparison. These are the main findings: Government bond and corporate bond yields fell by 23bp and 32bp respectively over all events; the effect on the euro was negative but weak; and the euro equity markets were positively driven by 680bp. Furthermore, most of the effects occur on the day following the events. Finally, the news impact diminishes over time, causing an observable break between the public and corporate bond purchase program.

The Impact of European Central Bank Intervention Announcements on Stock-, and Bond Markets During Crisis

2022
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Release : 2022
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Book Synopsis The Impact of European Central Bank Intervention Announcements on Stock-, and Bond Markets During Crisis by : Tina Theresa Koglbauer

Download or read book The Impact of European Central Bank Intervention Announcements on Stock-, and Bond Markets During Crisis written by Tina Theresa Koglbauer. This book was released on 2022. Available in PDF, EPUB and Kindle. Book excerpt: Even though the 2008 Financial Crisis ended nearly a decade ago, the impact of monetary policy announcements of the ECB is still an ongoing research topic. Hence the question pursued in this study is how both conventional and unconventional monteray policiy announcemnts of the ECB affected the stock-and bond markets of 11 EMU member countries during varying time periods. To test the hypothesis whether unconventional monetary policy announcements had a more significant impact on peripheal EMU member countries compared to core ones, past stock and bond market data such as daily stock returns of the main stock market indices and bond yields of each countries 10-year government bond were collected. An event study analysis revealed that unconventional monetary polcies overall had a greater impact on EMU members stock and bond markets. In conclusion, it showed that unconventional monetary policies were more effective than conventional ones, especially for peripheray countries as opposed to core EMU countries.This outcome may have implications for future crisis management and the expectations and outlook both professionals and individuals have on monetary policy announcements. *****Even though the 2008 Financial Crisis ended nearly a decade ago, the impact of monetary policy announcements of the ECB is still an ongoing research topic. Hence the question pursued in this study is how both conventional and unconventional monteray policiy announcemnts of the ECB affected the stock-and bond markets of 11 EMU member countries during varying time periods. To test the hypothesis whether unconventional monetary policy announcements had a more significant impact on peripheal EMU member countries compared to core ones, past stock and bond market data such as daily stock returns of the main stock market indices and bond yields of each countries 10-year government bond were collected. An event study analysis revealed that unconventional monetary polcies overall had a greater impact on

The Effect of Monetary Unification on German Bond Markets

2004
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Release : 2004
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Book Synopsis The Effect of Monetary Unification on German Bond Markets by : Hans Dewachter

Download or read book The Effect of Monetary Unification on German Bond Markets written by Hans Dewachter. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses reprojection to develop a benchmark to assess ECB monetary policy since January 1999, the start of EMU. We first estimate an essentially affine term structure model for the German SWAP yield curve between 1987:04-1998:12. The German monetary policy is then reprojected onto the EMU period (1999:01-2002:02). We find that the German real interest ratein place during the EMU period is significantly lower than it would have been in case the Bundesbank were still in charge of monetary policy. We also show the effect of EMU on the German SWAP yield curve. Short- and medium-term bonds seem to have been more affected than long-term bonds.

Government Bonds and their Investors

2012-06-01 Business & Economics
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Release : 2012-06-01
Genre : Business & Economics
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Book Rating : 058/5 ( reviews)

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Book Synopsis Government Bonds and their Investors by : Mr.Jochen R. Andritzky

Download or read book Government Bonds and their Investors written by Mr.Jochen R. Andritzky. This book was released on 2012-06-01. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points.

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