International effects of a compression of euro area yield curves

Martin Feldkircher, Gruber Thomas () and Florian Huber
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Gruber Thomas: Oesterreichische Nationalbank (Austrian Central Bank)

No 2019-1, Working Papers in Economics from University of Salzburg

Abstract: 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.

Keywords: Unconventional monetary policy; spillovers; GVAR; minimum variance portfolio (search for similar items in EconPapers)
JEL-codes: C30 E32 E52 F41 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2019-03-27
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon and nep-opm
References: Add references at CitEc
Citations: View citations in EconPapers (11)

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Related works:
Journal Article: International effects of a compression of euro area yield curves (2020)
Working Paper: Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy (2017)
Working Paper: Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy (2017)
Working Paper: Spreading the word or reducing the term spread? Assessing spillovers from euro area monetary policy (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:sbgwpe:2019_001

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