ECB: Working Paper Series (Topic)最新文献_第5页

On the Inflation Risks Embedded in Sovereign Bond Yields 论主权债券收益率隐含的通胀风险

ECB: Working Paper Series (Topic) Pub Date : 2019-11-19 DOI: 10.2139/ssrn.3530775

Gonzalo Camba-Mendez

{"title":"On the Inflation Risks Embedded in Sovereign Bond Yields","authors":"Gonzalo Camba-Mendez","doi":"10.2139/ssrn.3530775","DOIUrl":"https://doi.org/10.2139/ssrn.3530775","url":null,"abstract":"The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation. The simultaneous occurrence of these low contributions is novel, and not encountered previously in our sample. We also find that inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our analysis also prompts us to suggest that the financial advantage of issuing inflation-linked sovereign debt, and namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by investors for holding the less attractive inflation-linked debt asset.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125307294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Impact of Central Bank Liquidity Support on Banks’ Balance Sheets 央行流动性支持对银行资产负债表的影响

ECB: Working Paper Series (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3480398

Leo J. de Haan, Sarah Holton, Jan Willem van den End

引用次数: 3

Global Value Chain Participation and Exchange Rate Pass-Through 全球价值链参与和汇率传递

ECB: Working Paper Series (Topic) Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3767294

Georgios P. Georgiadis, J. Gräb, Makram Khalil

{"title":"Global Value Chain Participation and Exchange Rate Pass-Through","authors":"Georgios P. Georgiadis, J. Gräb, Makram Khalil","doi":"10.2139/ssrn.3767294","DOIUrl":"https://doi.org/10.2139/ssrn.3767294","url":null,"abstract":"This paper draws a causal link between the rise of global value chain participation and the decline of exchange rate pass-through to import prices over the last decades. We first present a structural two-country model in order to illustrate how participation in global value chains can impact exchange rate pass-through to import prices. In the model, the sensitivity of an economy's domestic-currency production costs to exchange rate changes rises as it participates more in global value chains by importing a larger share of its intermediate inputs. The increased sensitivity of the economy's domestic-currency production costs to exchange rate changes translates into a higher sensitivity of its domestic-currency export prices. The latter implies a reduction of the sensitivity of the economy's foreign-currency export prices – i.e. its trading partner's local-currency import prices – to exchange rate changes. Hence, an increase in the economy's global value chain participation implies a fall in its trading partner's exchange rate pass-through to import prices. We then provide empirical evidence in a cross-country panel dataset for the time period from 1995 to 2014 that is consistent with the mechanisms spelled out in the structural model. In particular, the data suggest that exchange rate pass-though to export prices is higher in economies which participate more in global value chains, and that exchange rate pass-though to import prices is lower in economies whose trading partners participate more in global value chains. Quantitatively, our estimates imply that the rise in global value chain participation can account for about 50% of the decline in exchange rate pass-through to import prices since the mid-1990s. JEL Classification: F32, F41, F62","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114410628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 19

Hours of Work Polarisation? 工作时间两极分化?

ECB: Working Paper Series (Topic) Pub Date : 2019-10-01 DOI: 10.2139/ssrn.3478540

António Dias da Silva, Filippos Petroulakis, A. Laws

{"title":"Hours of Work Polarisation?","authors":"António Dias da Silva, Filippos Petroulakis, A. Laws","doi":"10.2139/ssrn.3478540","DOIUrl":"https://doi.org/10.2139/ssrn.3478540","url":null,"abstract":"We investigate the relationship between hours per worker and employment polarisation. Our core question is whether hours per worker follow the same polarisation patterns as previously observed for employment, measured by either heads or total hours. Using the occupational task index measures of Acemoglu and Autor (2011), we find large relative declines in hours per worker in routine manual jobs – precisely the occupations most negatively affected by employment polarisation from routine-biased technical change. We also find a lower relative decline in hours per worker for non-routine cognitive analytical jobs, which are growing through polarisation. At the same time, hours per worker declined significantly more than the trend for non-routine manual physical occupations. Instead of a polarisation pattern, we find that hours per worker have been declining more in manual jobs (routine manual and non-routine manual physical). These patterns are observed across age, gender and education groups, with few exceptions and changes in intensity. The decline in hours per worker occurred mostly within sectors. Using a wage ranking of occupations instead of occupational task indices, the decline in hours per worker is monotonically related to wages. The results are specific to the European countries and the same patterns are not found using data for the United States.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125727647","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

The Global Capital Flows Cycle: Structural Drivers and Transmission Channels 全球资本流动周期:结构性驱动因素与传导渠道

ECB: Working Paper Series (Topic) Pub Date : 2019-05-15 DOI: 10.2139/ssrn.3389245

M. Habib, F. Venditti

引用次数: 35

Institutional Presence in Secondary Bank Bond Markets: How Does It Affect Liquidity and Volatility? 二级银行债券市场的机构存在:如何影响流动性和波动性?

ECB: Working Paper Series (Topic) Pub Date : 2019-05-03 DOI: 10.2139/ssrn.3383469

Silviu Oprică, Christian Weistroffer

{"title":"Institutional Presence in Secondary Bank Bond Markets: How Does It Affect Liquidity and Volatility?","authors":"Silviu Oprică, Christian Weistroffer","doi":"10.2139/ssrn.3383469","DOIUrl":"https://doi.org/10.2139/ssrn.3383469","url":null,"abstract":"Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the impact the non-financial private sector has on markets. Investment funds, insurance corporations and pension funds are found to similarly affect market conditions, though to a lesser magnitude. We find a trade-off between volatility and liquidity, where the stronger presence of institutional investors at the same time improves liquidity and increases volatility. The results suggest that possible structural shifts in investor composition matter for market conditions and should be monitored by financial stability authorities. JEL Classification: G10, G15, G23","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130709639","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Macroprudential Policy in a Monetary Union with Cross-Border Banking 跨境银行货币联盟中的宏观审慎政策

ECB: Working Paper Series (Topic) Pub Date : 2019-03-29 DOI: 10.2139/ssrn.3364096

Matthieu Darracq Pariès, Christoffer Kok, E. Rancoita

引用次数: 12

Pockets of Risk in European Housing Markets: Then and Now 欧洲房地产市场的风险:过去和现在

ECB: Working Paper Series (Topic) Pub Date : 2019-02-01 DOI: 10.2849/694

Jane Kelly, Julia Le Blanc, R. Lydon

引用次数: 15

Monetary Policy Implications of State-Dependent Prices and Wages 国家依赖型价格和工资的货币政策含义

ECB: Working Paper Series (Topic) Pub Date : 2018-12-01 DOI: 10.2139/ssrn.3372998

J. Costain, Anton A. Nakov, B. Petit