A high frequency assessment of the ECB securities markets programme
Download full text from publisher
Other versions of this item:
- Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
- Ghysels, Eric & Idier, Julien & Manganelli, Simone & Vergote, Olivier, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.
References listed on IDEAS
- Fatum, Rasmus & Pedersen, Jesper, 2009.
"Real-time effects of central bank intervention in the euro market,"
Journal of International Economics,
Elsevier, vol. 78(1), pages 11-20, June.
- Rasmus Fatum & Jesper Pedersen, 2007. "Real-Time Effects of Central Bank Interventions in the Euro Market," EPRU Working Paper Series 07-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics.
- Fourel, V. & Idier, J., 2011. "Risk aversion and Uncertainty in European Sovereign Bond Markets," Working papers 349, Banque de France.
- De Pooter, Michiel & Martin, Robert F. & Pruitt, Seth, 2018.
"The Liquidity Effects of Official Bond Market Intervention,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 53(1), pages 243-268, February.
- Seth Pruitt & Robert F. Martin & Michiel De Pooter, 2015. "The Liquidity Effects of Official Bond Market Intervention," International Finance Discussion Papers 1138, Board of Governors of the Federal Reserve System (U.S.), revised 02 Jul 2015.
- Sharon Kozicki & Eric Santor & Lena Suchanek, 2011. "Unconventional Monetary Policy: The International Experience with Central Bank Asset Purchases," Bank of Canada Review, Bank of Canada, vol. 2011(Spring), pages 13-25.
- Beine, Michel & Benassy-Quere, Agnes & Lecourt, Christelle, 2002.
"Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations,"
Journal of International Money and Finance,
Elsevier, vol. 21(1), pages 115-144, February.
- Michel Beine & Agnes Bénassy-Quéré & Christelle Lecourt, 2002. "Central Bank intervention and foreign exchange rates: new evidence from FIGARCH estimations," ULB Institutional Repository 2013/10445, ULB -- Universite Libre de Bruxelles.
- Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 853-878, December.
- Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007.
"Central bank intervention and exchange rate volatility, its continuous and jump components,"
International Journal of Finance & Economics,
John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
- Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher Neely & Franz Palm, 2007. "Central Bank intervention and exchange rate volatility: its continuous and jump components," ULB Institutional Repository 2013/10413, ULB -- Universite Libre de Bruxelles.
- Michel Beine & Jerome Lahaye & Sebastien Laurent & Christopher J. Neely & Franz C. Palm, 2007. "Central bank intervention and exchange rate volatility, its continuous and jump components," Working Papers 2006-031, Federal Reserve Bank of St. Louis.
- Dominguez, Kathryn M. E., 2003.
"The market microstructure of central bank intervention,"
Journal of International Economics,
Elsevier, vol. 59(1), pages 25-45, January.
- Dominguez & K., 1997. "The Market Microstructure of Central Bank Intervention," Working Papers 412, Research Seminar in International Economics, University of Michigan.
- Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
- Christopher J. Neely, 2005.
"An analysis of recent studies of the effect of foreign exchange intervention,"
Federal Reserve Bank of St. Louis, vol. 87(Nov), pages 685-718.
- Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Working Papers 2005-030, Federal Reserve Bank of St. Louis, revised 2005.
- Engle, Robert F. & White (the late), Halbert (ed.), 1999. "Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. J. Granger," OUP Catalogue, Oxford University Press, number 9780198296836.
- Lukas Menkhoff, 2010.
"High-Frequency Analysis Of Foreign Exchange Interventions: What Do We Learn?,"
Journal of Economic Surveys,
Wiley Blackwell, vol. 24(1), pages 85-112, February.
- Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo Group Munich.
- Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- David E. Runkle & Lawrence R. Glosten & Ravi Jagannathan, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
- Stefania D'Amico & Thomas B. King, 2010. "Flow and stock effects of large-scale Treasury purchases," Finance and Economics Discussion Series 2010-52, Board of Governors of the Federal Reserve System (U.S.).
- Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, February.
- Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003.
"Alternative models for stock price dynamics,"
Journal of Econometrics,
Elsevier, vol. 116(1-2), pages 225-257.
- Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics.
- Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO.
- Jack Meaning & Feng Zhu, 2011. "The impact of recent central bank asset purchase programmes," BIS Quarterly Review, Bank for International Settlements, December.
More about this item
Keywordscomponent models; euro area crisis; high frequency data; SMP; unconventional monetary policy;
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CBA-2014-04-05 (Central Banking)
- NEP-EEC-2014-04-05 (European Economics)
- NEP-MAC-2014-04-05 (Macroeconomics)
- NEP-MON-2014-04-05 (Monetary Economics)
- NEP-MST-2014-04-05 (Market Microstructure)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecb:ecbwps:20141642. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Official Publications). General contact details of provider: http://edirc.repec.org/data/emieude.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.