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Papers by Wolfgang Lemke


Abstract
This paper provides new empirical evidence that bears on the efficacy of unconventional monetary policies when the main policy rate is negative. When a negative interest rate policy (NIRP) is deployed in concert with rate forward guidance (FG) and quantitative easing (QE), the identification of the impacts of these unconventional instruments of monetary policy is challenging. We propose a novel identification approach that seeks to overcome this challenge by combining a dense, controlled event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options. We find that NIRP has exerted a sizeable influence on the term structure of interest rates throughout maturities while, on net, the impact of rate FG has been more muted. QE explains the lion’s share of yield effects, particularly over the back end of the yield curve. We then feed these rate counterfactuals into a large-scale Bayesian VAR and generate alternati ....

Economics Department , Monetary Policy Strategy Division , Head Of Division , Monetary Policy Research Division , Analysis Division , Deutsche Bundesbank , Monetary Policy , University Of Bielefeld , Capital Markets Financial Structure Division , Financial Structure , Capital Markets , Financial Structure Division , Monetary Policy Research , பொருளாதாரம் துறை , பண பாலிஸீ மூலோபாயம் பிரிவு , தலை ஆஃப் பிரிவு , பண பாலிஸீ ஆராய்ச்சி பிரிவு , பகுப்பாய்வு பிரிவு , பண பாலிஸீ , பல்கலைக்கழகம் ஆஃப் பிஎலெபில்ட் , நிதி அமைப்பு , மூலதனம் சந்தைகள் , நிதி அமைப்பு பிரிவு ,

Papers by Manfred Kremer


Abstract
After a period of about two years with fairly steady price increases and persistently low volatility, global stock markets experienced a notable price and volatility correction in early February 2018. Before this correction, policy authorities had become concerned about the benign volatility conditions, since low volatility may lead market participants to take on excessive risk and
thereby create risks to financial stability (the “volatility paradox”). Against this background, a return to conditions of higher volatility could, on the one hand, be regarded as a welcome normalisation. On the other hand, a “disorderly” stock market correction with sharp price declines and large price fluctuations might itself pose risks to financial and economic stability. ....

Financial Structure Division , Economics Department , European Central Bank , Strategy Review Project Office , Head Of Financial Markets Research Section , University Of Duisburg , Deutsche Bundesbank , Financial Research Division , Deputy Head Of Division , European Central , Financial Markets Research , Directorate General Research , Research Division , Directorate General Economics , Principal Economist , Capital Markets Section , நிதி அமைப்பு பிரிவு , பொருளாதாரம் துறை , ஐரோப்பிய மைய வங்கி , நிதி ஆராய்ச்சி பிரிவு , துணை தலை ஆஃப் பிரிவு , ஐரோப்பிய மைய , நிதி சந்தைகள் ஆராய்ச்சி , இயக்குநரகம் ஜநரல் ஆராய்ச்சி , ஆராய்ச்சி பிரிவு , இயக்குநரகம் ஜநரல் பொருளாதாரம் ,

Papers by Magdalena Grothe


Abstract
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this question is still mixed, primarily due to the lack of sufficiently precise data. This paper examines the process of price adjustment to public news in an electronic limit order market, based on very precise information from the largest European bond futures market. The results show that the price response to public news is gradual and accompanied by trading. Good (bad) news releases are followed by a sequence of positive (negative) returns and a large buying (selling) activity in the first seconds after the news release. ....

Financial Structure Division , European Central Bank , Schuman Programme , International Policy Analysis Division , Risk Control Division , Expert Panel Of The National Science Centre , Deutsche Bundesbank , Monetary Policy , International European Relations , Policy Analysis Division , Directorate General International , European Relations , European Central , Financial Stability Expert , European Systemic Risk Board , Expert Panel , National Science Centre , Control Division , Directorate General Monetary Policy , நிதி அமைப்பு பிரிவு , ஐரோப்பிய மைய வங்கி , சர்வதேச பாலிஸீ பகுப்பாய்வு பிரிவு , பண பாலிஸீ , சர்வதேச ஐரோப்பிய உறவுகள் , பாலிஸீ பகுப்பாய்வு பிரிவு , இயக்குநரகம் ஜநரல் சர்வதேச ,