Kerstin Bernoth
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Monetary Policy and Mispricing in Stock Markets Open
We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock …
Selective Bond Purchases – May the ECB Chose Winners and Losers? Open
The European Central Bank (ECB) is currently facing major challenges. Fragmentation of government bond yields across Member States of the European Economic and Monetary Union, based on different economic and fiscal policies, hampers a unif…
Die EZB-Geldpolitik in der Zwickmühle Open
It seems clear that the ECB will raise interest rates in July 2022 and end its asset purchase program. This should send a strong and important signal to markets and economic players that the ECB continues to take its mandate for price stab…
The Term Structure of Currency Futures' Risk Premia Open
The use of futures instead of forwards exchange contracts completes the maturity spectrum of the correlation between spot yields and the premium. We find that the forward premium puzzle appears to be a precrisis phenomenon and is only obse…
Inflation in the Euro Area: Factors Mostly Have Only a Temporary Effect, but Risk of Prolonged Elevated Inflation Remains Open
Headline inflation in the euro area jumped to more than three percent in the summer after years of relatively low inflation rates well below the target of close to but below two percent set by the ECB until July 2021. One of the main reaso…
Identifying Effective Combinations of Economic Policy Measures for the Coronavirus Recession in Europe Open
As the coronavirus pandemic spread across the globe in early 2020, the European Central Bank as well as national governments in the euro area enacted or announced numerous economic policy measures to counteract the severe economic conseque…
ECB and Fed monetary policy measures against the economic effects of the coronavirus pandemic have little effect Open
To cushion the economic effects of the coronavirus pandemic, central banks havetaken far-reaching monetary policy measures. The US Federal Reserve has loweredits interest rates and, like the European Central Bank, has expanded its bond pur…
Negative interest rates and the signalling channel Open
While negative interest rates stimulate the real economy by enhancing credit supply and improving the wealth situation of firms and households, they might come with side effects with regard to banking and financial stability. In an assessm…
Estimating a latent risk premium in exchange rate futures Open
Using exchange rates futures instead of forwards completes the maturity spectrum of the correlation between the spot return and the premium. The correlation decreases with increasing maturity, presumably due to a latent risk premium. We hy…
Monetary policy implications of financial innovation: In-depth analysis Open
In this policy brief, we argue that the financial innovations triggered by the FinTech industry have the potential to affect the transmission of monetary policy as well as the informational content of important monetary indicators. The gro…
Implications for the Euro Area of Divergent Monetary Policy Stances by the Fed and the ECB - The Role of Financial Spillovers: In-Depth Analysis Open
IP/A/ECON/2016-01 - This policy contribution was prepared for the European Parliament Committee on Economic and Monetary Affairs ahead of the European Parliament’s Monetary Dialogue with the President of the European Central Bank on 15 Jun…
Effectiveness of the ECB programme of asset purchases: Where do we stand? Open
The ECB has engaged in several forms of unconventional monetary policy since 2007. This report documents empirically that the implemented measures were effective. In a counter-factual analysis, the report simulates the effects of an unconv…
Monetary Policy and Asset Mispricing Open
This paper investigates whether conventional interest rate policy of central banks is a suitable instrument to attenuate excessive mispricing in stocks as suggested by the proponents of a "leaning against the wind" (LATW) monetary policy. …