The 20th anniversary of Economic and Monetary Union (EMU) offers an opportunity to look
back on the ECB's record and learn lessons that can improve the conduct of policy in the …

Assessing the impact on sovereign yields of the euro area Asset Purchase Programme
(APP) is challenging, because the monetary policy announcement in January 2015 was …

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield
curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases …

This paper investigates bank stock performance following different monetary policy actions
in times of positive and negative interest rates. Controlling for the broader stock market …

Abstract The Federal Reserve uses (reverse) auctions to implement its purchases of
Treasury bonds in quantitative easing (QE). To evaluate dealers' offers across multiple …

We extend the 'No-dynamic-arbitrage and market impact'-framework of Gatheral [Quant.
Finance, 2010, 10 (7), 749–759] to the multi-dimensional case where trading in one asset …

We present a search theoretic model of over-the-counter debt with quantitative easing (QE).
The impact of central bank asset purchases on yields depend on market tightness, which is …

Abstract We explore whether Quantitative Easing (QE) negatively affected the functioning of
the treasury market. Focusing on the arbitrage between European sovereign bonds and …

We identify a novel dimension of monetary policy from high-frequency changes in asset
prices around ECB policy events, orthogonal to surprises extracted from risk-free interest …

In the run-up to the ECB's public sector purchase programme in March 2015, German
government bond yields declined significantly. Using an affine term structure model, we …