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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 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.

Central Bank Policies and Financial Markets

2018
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Release : 2018
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Book Synopsis Central Bank Policies and Financial Markets by : Ashoka Mody

Download or read book Central Bank Policies and Financial Markets written by Ashoka Mody. This book was released on 2018. Available in PDF, EPUB and Kindle. Book excerpt: The European Central Bank (ECB) took many measures to combat the eurozone's rolling financial crisis. For providing desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we identify financial markets' response to the ECB's liquidity injections and its more pro-active monetary stimulus between October 2009 and September 2012, the most intense phase of the eurozone crisis. Dollar liquidity clearly reduced stress in bond markets and improved economic sentiment, as reflected in higher equity prices. In contrast, passive euro liquidity provision and even active measures (policy rate reductions and bond market interventions) delivered modest results. Although government bond spreads did typically decline, markets remained worried that spreads could rise quickly; moreover, broad economic sentiment remained unchanged. Only the Outright Monetary Transactions (OMT) "bazooka" had a substantial beneficial effect. Overall, the results point to the ECB's limits in helping improve financial market's sentiment.

Government Bonds and their Investors

2012-06-01 Business & Economics
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Release : 2012-06-01
Genre : Business & Economics
Kind : eBook
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.

Managing the Sovereign-Bank Nexus

2018-09-07 Business & Economics
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Release : 2018-09-07
Genre : Business & Economics
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Book Rating : 623/5 ( reviews)

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Book Synopsis Managing the Sovereign-Bank Nexus by : Mr.Giovanni Dell'Ariccia

Download or read book Managing the Sovereign-Bank Nexus written by Mr.Giovanni Dell'Ariccia. This book was released on 2018-09-07. Available in PDF, EPUB and Kindle. Book excerpt: This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.

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