An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies

Rebucci, Alessandro; Hartley, Jonathan; Jiménez, Daniel

doi:10.1108/s0731-90532021000043a014

Cited by 40 publications

(33 citation statements)

References 25 publications

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“…In subsequent research, the results may be enhanced by using different interest-rate datasets and extending the study to include the COVID-19 period, e.g. by investigating the impact of non-standard monetary policies implemented in CE economies on long-term bond yields (Rebucci, Hartley and Jimenez, 2021). Also, it may be the case that macroeconomic risk factors, which could help in obtaining more precise estimates of risk premia, are "unspanned" by the yield curve (Joslin, Priebsch and Singleton, 2014).…”

Section: Discussionmentioning

confidence: 99%

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

Janus

2022

Statistics in Transition New Series

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This paper provides a comparative evaluation of the behaviour of long-term sovereign yields in Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model developed by Adrian, Crump and Moench (2013) is used as an empirical framework for the decomposition of the bond yields into term premium and risk-neutral components. We document a substantial compression in term premia which started in Central European economies around 2013 and played a decisive role in the changes that occurred in 10-year sovereign yields. This pattern, however, was more prevalent in Czechia and Poland than in Hungary. We show that long-term rates in all three economies remained higher than in Germany due to relatively large risk-neutral components. Nevertheless, cross-country correlations became increasingly dependent on term premium dynamics, both among Central European economies and between each of them and Germany. These results are robust to bias-correction in the baseline models and interpreted in the light of the general interest rates decline in the global economy. Potential policy implications are also discussed.

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Section: Discussionmentioning

confidence: 99%

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

Janus

2022

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“…Emphasis on currencies is given by Ciner ( 2021 ) and Narayan, Devpura, and Wang ( 2020 ), and cryptocurrencies are also mentioned by Chiu, Hung, and Liang ( 2020 ) and Corbet, Hou, Hu, Larkin, and Oxley ( 2020 ). On the role of monetary policies, their effectiveness is analyzed through monetary stimulus (Feldkircher, Huber, & Pfarrhofer, 2021 ), also focusing specifically on quantitative easing (Rebucci, Hartley, & Jiménez, 2020 ; Zhang, Hu, & Ji, 2020 ; Bhar & Malliaris, 2021 ) and helicopter money (Chakraborty & Thomas, 2020 ; Drescher, Fessler, & Lindner, 2020 ). The importance of funding economies, through credit provision and liquidity access on markets, is also underlined by various authors.…”

Section: Literature Reviewmentioning

confidence: 99%

On the economic impacts of COVID‐19: A text mining literature analysis

Gonçalves

Moro

2022

Review Development Economics

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The COVID‐19 outbreak has affected everyday lives worldwide. As governments started to implement confinement and business closure measures, the economic impact was felt by entire societies immediately. The urgency of such a theme has led researchers to study the phenomenon. Accordingly, the purpose of this research is to provide the state of the art on relevant dimensions and hot topics of research to understand the economic impacts of COVID‐19. In this survey, we conduct a text mining analysis of 301 articles published during 2020 which analyzed such economic impacts. By defining a set of relevant dimensions grounded on existing literature, we were able to extract a set of coherent topics that aggregate the collected articles, characterized by the predominance of a few sets of dimensions. We found that the impact on “financial markets” was widely studied, especially in relation to Asia. Next, we found a more diverse range of themes analyzed in Europe, from “government measures” to “macroeconomic variables.” We also discovered that America has not received the same degree of attention, and “institutions,” “Africa,” or “other pandemics” were studied less. We anticipate that future research will proliferate focusing on several themes, from environmental issues to the effectiveness of government measures.

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“…Возникла новая тенденция, когда развивающиеся страны, такие как ЮАР, Индонезия, Турция, Малайзия, Хорватия, Польша (их можно отнести к числу малых открытых экономик со значительно большим основанием, нежели Россию), идут вслед за США и ЕС в деле использования долгового способа монетизации своих национальных экономик. Некоторые результаты действия этой новой тенденции оценены в работе (Rebucci et al, 2020) «Исследование событий, связанных с количественным смягчением центральных банков в условиях COVID-19 в странах с развитой и развивающейся экономикой», где проведен высокочастотный событийный анализ 21 центрального банка по всему миру 18 в марте и апреле 2020 года на доходность 10-летних суверенных облигаций и обменные курсы доллара США.…”

Section: о долговом способе монетизации экономики и целесообразности ...unclassified

Debt monetization of the Russian economy: Key issues

2021

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The Bank of Russia's issuance of "primary money" over the past 20 years has been based predominantly on an increase in net international reserves on the growth of net international reserves and is only marginally supported by the growth of government and corporate securities. Many economists argue that this way of monetization violates the country's economic sovereignty and negatively affects economic growth. In this paper, the validity of this position has been confirmed using a shift-mode reproduction model and econometric analysis. For the retrospective long-term period 2011-2019, three scenarios are considered for activation of the debt (based on government securities) monetization method: when the role of the debt method increases by 20, 50, and 70%. All three scenarios have shown that in Russia, if the actual annual average issuance rate of M0 is maintained, the GDP rate increases, and inflation decreases within the framework of 2011-2019. One reason: It is statistically established that in countries with above-average yields, the transition to the debt method reduces the degree of undervaluation of the ruble, and this process, in turn, affects investment activity and, furthermore, economic growth and inflation. Interestingly, there is no such correlation in countries with high yields (USA, Canada, most EU countries etc.). In the calculations of the three scenarios, the growth of estimated public debt over the period 2011-2019 has outstripped the growth of actual public debt. In our opinion, this outpacing is one of the conditions for normalizing macroeconomic performance.

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An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies

Cited by 40 publications

References 25 publications

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

Long-term sovereign interest rates in Czechia, Hungary and Poland: a comparative assessment with an affine term structure model

On the economic impacts of COVID‐19: A text mining literature analysis

Debt monetization of the Russian economy: Key issues

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