A high frequency assessment of the ECB securities markets programme
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- 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.
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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)
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