Unconventional monetary policy in the Eurozone: : A lack of forward guidance?

• Autores: Cécile Bastidon, Nicolas Huchet, Yusuf Kocoglu
• Localización: Emerging Markets Finance & Trade, ISSN-e 1558-0938, Vol. 52, Nº. 1, 2016, págs. 76-97
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • From July to December 2011, the three-month EURIBOR-OIS and EURIBOR-Repo spreads quadrupled and reached 100 basis points due to a stabilization of the EURIBOR and a decrease in the overnight index swap (OIS) and Repo. Using a specific monetary policy announcements and financial indicators database, we find that the European Central Bank’s (ECB’s) unconventional measures did not systematically have a calming effect: Asset buyout announcements decreased market strains, whereas interest rates and liquidity provision announcements did not. Moreover, liquidity provision seems to have a stressing effect. Our findings are consistent with the theoretical underpinnings according to which forward guidance crucially determines the effectiveness of unconventional monetary policies