International effects of a compression of euro area yield curves

被引：23

作者：

Feldkircher, Martin ^{[1
]}

Gruber, Thomas ^{[1
]}

Huber, Florian ^{[2
]}

机构：

[1] Oesterreich Nationalbank OeNB, Otto Wagner Pl 3, A-1090 Vienna, Austria

[2] Univ Salzburg, SCEUS, Monchsberg 2a, A-5020 Salzburg, Austria

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 113卷

基金：

奥地利科学基金会;

关键词：

Unconventional monetary policy; Spillovers; GVAR; Minimum variance portfolio; UNCONVENTIONAL MONETARY-POLICY; IMPULSE-RESPONSE ANALYSIS; STOCHASTIC VOLATILITY; VECTOR AUTOREGRESSIONS; MARKET IMPACT; TIME-SERIES; US; INFLATION; TRANSMISSION; STOCK;

D O I：

10.1016/j.jbankfin.2019.03.017

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers transmit through an exchange rate channel and a broad financial channel. We complement our analysis by conducting a portfolio optimization exercise. Our results show that multi-step-ahead forecasts conditional on the euro area yield curve shock improve Sharpe ratios relative to other investment strategies. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：14

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