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|a Quantitative easing and exuberance in government bond markets
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|a This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so.
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1757992152117280768 |
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Electronic Resources |
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Droes, Martijn, Lamoen, Ryan C. R. van, Mattheussens, Simona |
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Droes, Martijn, Lamoen, Ryan C. R. van, Mattheussens, Simona |
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Droes, Martijn |
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m d md, r c r v l rcrv rcrvl, s m sm |
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lfer |
contents |
This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so. |
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This version: 25 August 2017 |
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Arbeitspapier DE-206, Online-Publikation DE-206 |
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Amsterdam, Tinbergen Institute, 2017 |
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Amsterdam: Tinbergen Institute, 2017 |
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Quantitative easing and exuberance in government bond markets: evidence from the ECB's Expanded Assets Purchase Program |
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0929-0834 |
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Droes, Martijn VerfasserIn aut, Quantitative easing and exuberance in government bond markets evidence from the ECB's Expanded Assets Purchase Program Martijn (M.I.) Droes, Ryan van Lamoen, Simona Mattheussens, This version: 25 August 2017, Amsterdam Tinbergen Institute 2017, 1 Online-Ressource (circa 28 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Tinbergen Institute discussion paper TI 2017, 080 IV, This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so., Arbeitspapier DE-206, Online-Publikation DE-206, Lamoen, Ryan C. R. van VerfasserIn (DE-588)1128317257 (DE-627)882803867 (DE-576)485833832 aut, Mattheussens, Simona VerfasserIn aut, Tinbergen Institute Discussion paper TI 2017, 080 2017,80 (DE-627)571610943 (DE-576)283869771 (DE-600)2435783-2 0929-0834, http://hdl.handle.net/10419/177648 Resolving-System kostenfrei Volltext, http://www.tinbergen.nl/discussionpaper/?paper=2809 Verlag kostenfrei Volltext, http://www.tinbergen.nl/discussionpaper/?paper=2809 LFER, LFER 2019-05-07T00:00:00Z |
spellingShingle |
Droes, Martijn, Lamoen, Ryan C. R. van, Mattheussens, Simona, Quantitative easing and exuberance in government bond markets: evidence from the ECB's Expanded Assets Purchase Program, Tinbergen Institute, Discussion paper, TI 2017, 080, This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so., Arbeitspapier, Online-Publikation |
swb_id_str |
9897236228 |
title |
Quantitative easing and exuberance in government bond markets: evidence from the ECB's Expanded Assets Purchase Program |
title_auth |
Quantitative easing and exuberance in government bond markets evidence from the ECB's Expanded Assets Purchase Program |
title_full |
Quantitative easing and exuberance in government bond markets evidence from the ECB's Expanded Assets Purchase Program Martijn (M.I.) Droes, Ryan van Lamoen, Simona Mattheussens |
title_fullStr |
Quantitative easing and exuberance in government bond markets evidence from the ECB's Expanded Assets Purchase Program Martijn (M.I.) Droes, Ryan van Lamoen, Simona Mattheussens |
title_full_unstemmed |
Quantitative easing and exuberance in government bond markets evidence from the ECB's Expanded Assets Purchase Program Martijn (M.I.) Droes, Ryan van Lamoen, Simona Mattheussens |
title_in_hierarchy |
TI 2017, 080. Quantitative easing and exuberance in government bond markets: evidence from the ECB's Expanded Assets Purchase Program (2017) |
title_short |
Quantitative easing and exuberance in government bond markets |
title_sort |
quantitative easing and exuberance in government bond markets evidence from the ecb s expanded assets purchase program |
title_sub |
evidence from the ECB's Expanded Assets Purchase Program |
topic |
Arbeitspapier, Online-Publikation |
topic_facet |
Arbeitspapier, Online-Publikation |
url |
http://hdl.handle.net/10419/177648, http://www.tinbergen.nl/discussionpaper/?paper=2809 |