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Quantitative easing (Monetary policy) --- International finance.

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Aufbauend auf der Analyse der Wechselkurspolitik im Transformationsprozeß ausgewählter mittel- und osteuropäischer Länder werden wechselkurspolitische Optionen vor und nach einem EU-Beitritt untersucht. Ein zentrales Ziel ist es, eine angemessene und länderindividuelle Strategie für die Währungsintegration der EU-Aspiranten herauszuarbeiten, die zugleich unter Verwendung eines Indikatorenschemas mit mikro- und makroökonomischen Kriterien empirisch gestützt wird. Als Leitmotiv dienen die Folgen der - für Ökonomien im Aufholprozeß charakteristischen - Aufwertung des realen gleichgewichtigen Wechselkurses. Es wird gezeigt, daß angesichts eines signifikant hohen Flexibilitätsbedarfs der Währungen eine vorzeitige Euro-Anbindung im Grundsatz nicht angemessen ist. Zugleich wird auf die Notwendigkeit verwiesen, die rechtsverbindlichen Vorgaben der EU in einigen monetären Bereichen zu ergänzen.

Monetary policy --- Quantitative easing (Monetary policy) --- Econometric models.

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Quantitative easing (Monetary policy) --- Interest rates --- Monetary policy --- Government policy

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Following the financial crisis, many economists have discussed the necessity of using unconventional monetary policies. These policies have been implemented by four major central banks (the Federal Reserve, the Bank of England, the Bank of Japan and the European Central Bank), but the opinions about their effectiveness remain mixed. More specifically, this paper focuses on the justification and effectiveness of quantitative easing (QE), a specific unconventional monetary policy that aims to increase the central bank’s balance sheet in an unusual way. According to the theory, QE programmes should decrease the long-term interest rates through the portfolio balance channel, which would in turn lead to an increase of investment and consumption in the targeted economy. It should also imply a depreciation of the domestic currency, enabling the country to increase its exports. However, this policy is not riskless and can create financial bubbles. It can also be seen as ineffective, if transmission channels do not function properly. The study of the US and UK cases shows that QE was partially effective, whereas it almost led to no result in Japan. Finally, focusing on the euro area, we can say that QE seems to have lowered long-term interest rates, but has not been sufficient until now to boost the economy. More precisely, there is no clear sign of a portfolio balance channel functioning in the euro area.

Quantitative easing, monetary policy, euro area --- Sciences économiques & de gestion > Macroéconomie & économie monétaire

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The purpose of this thesis is to examine the unconventional monetary policies introduced by the European Central Bank (ECB) after the 2008 financial crisis and to study their impact on interest rates in the euro area. First, we present the conventional and unconventional monetary policies undertaken by the ECB and their transmission channels. The rest of this thesis is dedicated to analyzing the impact of the unconventional monetary policies on interest rates in Europe and two transmission channels through which they operate: the signaling channel and the portfolio-rebalance channel. To do so, we use an event-study methodology focusing on the immediate changes in euro area government bond (EAGB) yields over a 2-day interval around the ECB’s announcements in order to capture the market’s direct reaction to the news released. We then take the cumulative changes over all the relevant events as a measure of the overall effects of the announcements on interest rates. Our results suggest that unconventional monetary policies decline EAGB yields at all maturities and on average by about 41 basis points. The decomposition of interest rate responses shows that market expectation about future short rates, as proxied by the IRS rates, rises across all maturities, while term premiums, as reflected by the spreads between EAGB yields and their corresponding IRS rates, fall at all maturities. It appears that ECB’s unconventional monetary policies are useful in reducing the term premium of interest rates through the portfolio rebalance channel, but the fall in term premium is largely offset by the rise in market expectation about future short rates. Therefore, the portfolio rebalance channel is dominant in the programs conducted by the ECB, while the signaling channel seems to be less obvious.

ECB --- Unconventional monetary policy --- Financial crisis --- Quantitative easing --- event study --- government bond yields --- Sciences économiques & de gestion > Macroéconomie & économie monétaire