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Isabel Schnabel: The state contingency of monetary policy transmission

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Thursday, April 25, 2024

Consensus, HHI, Hamas, Tax, MIR, BLS, Consensus Economics, HSBC Finance, Employment, Compression, Champ, Transport, Foodservice, DFR, SDW, European Systemic Risk Board, APP, Policy, Bank of Greece, PEPP, BSI, S&P Global, House, ECB, Unemployment, Risk, ESCB, SPF, NFC, Imir, QSA, Refinitiv, GDP, Index, Oesterreichische Nationalbank, Banco de Portugal, RHS, Kilowatt-hour, Person, Weather, Consumption, Communication, PMI, Bank of France, News, Food, OIS, Credit, HFCS, Service, European Central Bank, Mining, Roe, Conference, Pressure, Central bank, Growth, Caldara, HH, LHS, GPR, Household, Rubric, Bank, ROE, Capital, ILS, Energy, Bloomberg, HICP, IBoxx, Reference, Deutsche Bundesbank, Water, Unit, Inventory, BEIR, IBES, Interval (mathematics), Fused quartz

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Central bank asset purchases and auction cycles revisited: new evidence from the euro area

Retrieved on:

Friday, April 19, 2024

EADB, Eurozone, Central bank, Exercise, Finance, Selection, Zero lower bound, History, Sale, Empirical evidence, Research Papers in Economics, SDW, Flight-to-liquidity, Money, EONIA, APP, Fleming, Born, AAA, Fiscal, PEPP, Pyrrhic victory, Policy, Research, Breitung, MOSFET, Autocorrelation, Euro, PDF, Classification, ECB, Blog, Dependent and independent variables, Eser, DMO, Impact, PSPP, SMP, Efficacy, AC, QE, Sovereign, Confidentiality, Section 4, MOC, Convention (norm), Data warehouse, Social science, LHS, Control, JEL, Chart, Section 3, Importance, Journal, Bank of France, Role, G14, Government, Capital, The Journal of Finance, Credit, E58, Contagion, Literature, Public sector, DeSantis, Paper, Section 2, European Central Bank, Health, Arnone, Attention, Pressure, NCBS, G12, Journal of Financial Economics, Reproduction, Website, Table, Movement, IMF, RHS, Working paper, Ehrmann, Treasury, Market, Symmetry, Heart, Data, Beck, VIX, Natural experiment, Interval (mathematics), Confidence interval, Medical classification, Security (finance)

Working Paper Series

Key Points:

Working Paper Series
Federico Maria Ferrara
Central bank asset purchases
and auction cycles revisited:
new evidence from the euro area

No 2927

Disclaimer: This paper should not be reported as representing the views of the European Central Bank
(ECB).
Abstract
This study provides new evidence on the relationship between unconventional monetary
policy and auction cycles in the euro area.
The findings indicate that Eurosystem?s asset purchase flows mitigate
yield cycles during auction periods and counteract the amplification impact of market volatility.
The dampening effect of central bank asset purchases on auction cycles is more sizeable and
precisely estimated for purchases of securities with medium-term maturities and in jurisdictions
with relatively lower credit ratings.
On the other hand, central banks may influence price dynamics in these markets, most notably
through their asset purchase programmes.
If so, do central bank asset purchases
affect bond yield movements around auction dates?
Auction cycles are present when secondary market yields rise in
anticipation of a debt auction and fall thereafter, generating an inverted V-shaped pattern around auction
dates.
ECB Working Paper Series No 2927
3

1

Introduction

The impact of central bank asset purchases on government bond markets is a focal point of economic and
financial research.
If so,
do central bank asset purchases shape yield sensitivity around auction dates?
The paper provides new evidence on the effects of Eurosystem?s asset purchases on secondary market
yields around public debt auction dates.
The analysis builds on previous research based on aggregate data
on central bank asset purchases and a shorter analysis period (van Spronsen and Beetsma 2022).
Using
granular data on Eurosystem?s asset purchases offers an opportunity to shed light on the mechanisms linking
unconventional monetary policy and auction cycles.
Given this legal constraint, the study
hypothesises that the effect of asset purchases on 10-year auction cycles is mostly indirect, and goes via price
spillovers generated by purchases of securities outside the 10-year maturity space.
Taken together, these results provide new evidence about auction cycles in Europe and contribute to a
larger literature on the flow effects of central bank asset purchases on bond markets.
Section 4 offers descriptive evidence about auction cycles in the euro area.
Auction cycles are defined by the presence of an inverted V-shaped pattern in secondary market yields
around primary auctions.
That is, government bond yields rise in the run-up to the date of the auction and
fall back to their original level after the auction.
Their limited risk-bearing capacities and inventory management operations are
seen as key mechanisms driving auction cycles (Beetsma et al.
ECB Working Paper Series No 2927
7

Second, central bank asset purchases can alleviate the cycle by (partly) absorbing the additional supply
of substitutable instruments in the secondary market (van Spronsen and Beetsma 2022).
This expectation is
supported by several analyses on the price effects of central bank bond purchases (D?Amico and King 2013;
Arrata and Nguyen 2017; De Santis and Holm-Hadulla 2020).
Empirically, previous research has provided evidence of auction cycles taking place across different jurisdictions.
(2016) detect auction cycles for government debt in Italy, but not in Germany, during the European
sovereign debt crisis.
Research on the impact of central bank asset purchases on yield cycles around auctions is still limited.
Their paper provides evidence
that Eurosystem?s asset purchases reduce the presence of auction cycles for euro area government debt.
Nonetheless, several questions remain open about auction cycles and unconventional monetary policy
in the euro area.
Therefore, they
provide only a partial picture of auction cycles and central bank asset purchases in Europe.
The use of granular data on central bank asset purchases is especially important in light of the modalities
of monetary policy implementation of the Eurosystem.
Altogether, these elements motivate further investigation of the relationship between central bank asset
purchases and auction cycles in the euro area.
Taken together, these results confirm that Eurosystem?s asset purchases mitigate yield cycles during auction periods and counteract the amplification impact of market volatility.
The findings confirm that the flow
effects of central bank purchases on yield movements around auction dates are driven by lower-rated countries.
Additional analyses provide evidence for an indirect effect of purchases on auction cycles and highlight
the presence of substantial heterogeneity across jurisdictions and purchase programmes.
Flow Effects of Central Bank Asset Purchases on Sovereign Bond
Prices: Evidence from a Natural Experiment.
Federico Maria Ferrara
European Central Bank, Frankfurt am Main, Germany; email: [email protected]
? European Central Bank, 2024
Postal address 60640 Frankfurt am Main, Germany
Telephone
+49 69 1344 0
Website
www.ecb.europa.eu
All rights reserved.

Keysight Awarded U.S. Air Force Contract for Electromagnetic Spectrum Threat Simulators

Retrieved on:

Tuesday, December 5, 2023

National defense relies on the electromagnetic (EM) spectrum for radar, communications, enhanced situational awareness, and maneuvering.

Key Points:

National defense relies on the electromagnetic (EM) spectrum for radar, communications, enhanced situational awareness, and maneuvering.
Signals in electronic warfare (EW) environments are rapidly evolving, creating the need to test using high-fidelity and complex emitters in realistic EM conditions.
Keysight meets this need with the new EWTS Solution that allows the evaluation of system using dynamic flight paths, multi-emitters, and interferers.
Reasons the Air Force chose Keysight’s EWTS include:
Most technologically advanced and capable threat simulator – The increased radio frequency (RF) channel generation capability of the solution provides the Air Force with a more realistic EW test environment.

Mitsubishi Electric Trane HVAC US Introduces the Simple Ductless Wired Controller

Retrieved on:

Tuesday, October 31, 2023

Technology, Construction & Property, HVAC, Manufacturing, Building Systems, Machinery, Hardware, IOT (Internet of Things), Consumer Electronics, Thermostat, VRF, Humidity, Mitsubishi Electric Trane HVAC, SDW, Variable refrigerant flow, Multimedia, Heat, Heating, ventilation, and air conditioning

Mitsubishi Electric Trane HVAC US LLC (METUS), a leading supplier of Ductless and Ducted Mini-split and Variable Refrigerant Flow (VRF) heat pump and air-conditioning systems, introduces the Simple Ductless Wired (SDW) remote controller.

Key Points:

Mitsubishi Electric Trane HVAC US LLC (METUS), a leading supplier of Ductless and Ducted Mini-split and Variable Refrigerant Flow (VRF) heat pump and air-conditioning systems, introduces the Simple Ductless Wired (SDW) remote controller.
The SDW remote controller is simple to use and is compatible with existing thermostat wire, allowing for easier installation.
View the full release here: https://www.businesswire.com/news/home/20231031737811/en/
The Simple Ductless Wired Remote Controller (Photo: Business Wire)
Suitable for multifamily applications, the SDW controller features programmable presets with 7-day scheduling.
“The Simple Ductless Wired remote controller is attractive, easy to install and easy to use,” says James DeBerry, commercial marketing manager, Mitsubishi Electric Trane HVAC US LLC.

Universal Electronics Introduces a New Climate Control Thermostat for the US Market

Retrieved on:

Tuesday, October 31, 2023

Universal Electronics Inc. (UEI) (NASDAQ: UEIC), the global leader in wireless universal control solutions for home entertainment and smart home devices, announces its launch of a new thermostat designed for the US market.

Key Points:

Universal Electronics Inc. (UEI) (NASDAQ: UEIC), the global leader in wireless universal control solutions for home entertainment and smart home devices, announces its launch of a new thermostat designed for the US market.
View the full release here: https://www.businesswire.com/news/home/20231031098622/en/
UEI announces its launch of a new thermostat designed for the US market based on UEI’s Comfort Line of Climate Control solutions.
Universal Electronics worked to implement METUS’ IT protocol and other requirements into the new Simple Ductless Wired (SDW) controller.
Universal Electronics worked to implement METUS’ IT protocol and other requirements into the new Simple Ductless Wired (SDW) controller.

Fannie Mae Multifamily Introduces Sponsor-Dedicated Workforce (SDW) Housing to Support Workforce Rental Affordability

Retrieved on:

Wednesday, October 11, 2023

Senior, Fannie Mae, OTCQB, AMI, DUS, SDW, Workforce, Delegate, Life, Face, FNMA, Housing, Commercial property, TruAmerica Multifamily

WASHINGTON, Oct. 11, 2023 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) announced today a new Sponsor-Dedicated Workforce (SDW) product to create and preserve workforce housing through the company's network of Delegated Underwriting and Servicing (DUS®) lenders. With its pricing and underwriting benefits, the product incentivizes conventional and social impact Fannie Mae multifamily borrowers to elect rent restrictions on eligible properties for the life of the loan, helping support workforce-income renters.

Key Points:

"Fannie Mae's new Sponsor-Dedicated Workforce product will help solve rental affordability, accessibility, and sustainability challenges that missing-middle renters currently face.
With this creative new financing solution, Fannie Mae and our partners can increase the supply of workforce rental units across the country and support long-term housing stability for renters," said Rob Levin, Senior Vice President and Multifamily Chief Customer Officer, Fannie Mae.
"Affordability continues to be a significant challenge for multifamily renters as rent increases have outpaced income growth," said Michele Evans, Executive Vice President and Head of Multifamily, Fannie Mae.
"Fannie Mae is addressing the need for workforce housing by providing innovative, attractive programs that create and preserve affordable multifamily units while enabling socially responsible investment opportunities for investors.

Edgecore Networks Provides a Cost-Effective SD-WAN Solution for SMEs with SDW102 and SDW102-L

Retrieved on:

Tuesday, December 20, 2022

To better connect employees in multiple office locations, Edgecore provides its SD-WAN solution for organizations to improve specifically on the cost-effectiveness and complexity of traditional WANs, as well as increasing business agility.

Key Points:

To better connect employees in multiple office locations, Edgecore provides its SD-WAN solution for organizations to improve specifically on the cost-effectiveness and complexity of traditional WANs, as well as increasing business agility.
Now with its new members, the SDW102 and SDW102-L, Edgecore’s SD-WAN product line becomes more complete and flexible.
No more complexity, no more paying for what you don’t really need!”
Availability: The Edgecore SDW102 and SDW102-L are now available.
Edgecore Networks Corporation is a wholly owned subsidiary of Accton Technology Corporation, the leading networking ODM.