Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme
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- Lemke, Wolfgang & Werner, Thomas, 2020. "Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme," Journal of Banking & Finance, Elsevier, vol. 111(C).
- Lemke, Wolfgang & Werner, Thomas, 2018. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181594, Verein für Socialpolitik / German Economic Association.
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Citations
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Cited by:
- Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
- Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020.
"Natural rate chimera and bond pricing reality,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224546, Verein für Socialpolitik / German Economic Association.
- Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
- Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
- Katharina Bergant & Michael Fidora & Martin Schmitz, 2020.
"International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme,"
IMF Working Papers
2020/046, International Monetary Fund.
- Fidora, Michael & Schmitz, Martin & Bergant, Katharina, 2020. "International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme," Working Paper Series 2388, European Central Bank.
- Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
- Fabian Eser & Wolfgang Lemke & Ken Nyholm & Sören Radde & Andreea Liliana Vladu, 2023.
"Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve,"
International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 359-422, August.
- Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Radde, Sören & Vladu, Andreea Liliana, 2019. "Tracing the impact of the ECB’s asset purchase programme on the yield curve," Working Paper Series 2293, European Central Bank.
- Eser, Fabian & Lemke, Wolfgang & Nyholm, Ken & Vladu, Andreea, 2020. "Tracing the impact of the ECB's asset purchase programme on the yield curve," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224540, Verein für Socialpolitik / German Economic Association.
- Andrea Carriero & Lorenzo Ricci & Elisabetta Vangelista, 2022. "Expectations and term premia in EFSF bond yields," Working Papers 54, European Stability Mechanism.
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- Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
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More about this item
Keywords
large-scale asset purchases; term premia; term structure of interest rates;All these keywords.
JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2017-11-12 (European Economics)
- NEP-MON-2017-11-12 (Monetary Economics)
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