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The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets
7 references·16 citing·50 second hop
The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets (2011)The Impact of the Eurosystem's Covered Bo…Large-Scale Asset Purchases by the Federal Reserve: Did They Work? 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(2000)The Case for Open-Market Purchases in a Liquidity Trap (2005)Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower BoundMultivariate Simultaneous Generalized ARCH (1995)Zero Bound on Interest Rates and Optimal Monetary Policy (2003)The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects (2012)International channels of the Fed's unconventional monetary policy (2014)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Unconventional monetary policy had large international effects (2014)A Comparative‐Advantage Approach to Government Debt Maturity (2015)On the International Spillovers of US Quantitative Easing (2016)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)International capital flows and U.S. interest rates (2009)Bond Supply and Excess Bond Returns (2014)Banks’ Financial Reporting and Financial System Stability (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)
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References

  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2003The Zero Bound on Interest Rates and Optimal Monetary Policy854 cited
  • 2011Large-Scale Asset Purchases by the Federal Reserve: Did They Work?402 cited
  • 2004Monetary Policy Alternatives at the Zero Bound: An Empirical Assessment339 cited
  • 2010The Financial Market Impact of Quantitative Easing303 cited
  • 2010Unconventional Monetary Policies: An Appraisal290 cited
  • 2003Monetary Policy When the Nominal Short-Term Interest Rate is Zero240 cited

Cited by

  • 2014Bank Bonds: Size, Systemic Relevance and the Sovereign149 cited
  • 2015Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries135 cited
  • 2012The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?125 cited
  • 2012The Interplay of Economic Reforms and Monetary Policy: The Case of the Eurozone*101 cited
  • 2018The European Central Bank's Monetary Policy during Its First 20 Years82 cited
  • 2015Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures74 cited
  • 2013Unconventional Monetary Policy of the ECB during the Financial Crisis: An Assessment and New Evidence

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69 cited
  • 2015The effectiveness of the ECB's asset purchase programs of 2009 to 201268 cited
  • 2016The Determinants of Long-Term Debt Issuance by European Banks: Evidence of Two Crises67 cited
  • 2014Learning from Japan: The European Central Bank and the European Sovereign Debt Crisis63 cited
  • 2015Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area61 cited
  • 2012Liquidity, Term Spreads and Monetary Policy61 cited
  • 2014Central Banking at a Crossroads : Europe and Beyond53 cited
  • 2012The Use of the Eurosystem's Monetary Policy Instruments and Operational Framework since 200952 cited
  • 2015Unlocking SME finance through market-based debt41 cited
  • 2014From the Maastricht Treaty to Post-crisis EMU: The ECB and Germany as Drivers of Change37 cited