E52 - Monetary PolicyReturn

The literature shows that the nowcasting models generally use structured data such as real, financial and survey indicators. Recent research has focused on finding the way how to use the unstructured data in the nowcasting models. The search items such as sentiments or emotions were gathered from internet platforms and used as unstructured data. In this study, it is analysed how the ECB presidents' speeches are included in the nowcasting model and to what degree they affect the quarterly gross domestic product (GDP) of Germany. First, ECB presidents' speeches are analysed to obtain the emotion indicators with assistance of the newly harmonised complex dictionary. These emotion indicators are next added to the unbalanced and mixed frequency data and the nowcasting model estimation for GDP is performed with these data using the expectation-maximisation algorithm in the dynamic factor model representation. Moreover, the news analysis is performed to show how the revisions in the real-time data, including emotion indicators, affect the nowcasts for the current and next quarter GDPs. Finally, a forecast scenario is performed to demonstrate the effects of emotion indicators in the nowcasting model of GDP which shows a slowdown for the last two years. In conclusion, it is suggested that ECB presidents' speeches may increase the performance of nowcasting models for the German GDP.

Following the latest subprime crisis, central banks introduced several unconventional instruments which had spillover effects on foreign exchange rates. The aim of our paper is to explore whether the use of zero lower bound (ZLB) and unconventional instruments has an impact on the changes in foreign exchange rates. By running dynamic panel regressions, we analysed this issue on a sample of 7 European central banks.
Based on our results, unconventional monetary policy had a significant impact on the exchange rate fluctuations in the short term, even with the use of instruments where there was no targeted exchange rate regulation.

This paper discusses the effects of the ECB's asset purchase programmes (APPs) on the SER spread, while the main focus is given to detail intraday analysis of implementation of the Public Sector Purchase Programme (PSPP). The SER spread is perceived as an important indicator of interbank trust in the Eurozone and its elevated level normally signals distortion and mistrust among commercial banks with a power to spill over into the whole financial sector. Recent development on interbank markets and especially within monetary policy in the Eurozone could have impaired the ability of the SER spread to act as a proxy for global systemic risk. The SER spread in this study was constructed and calculated using relevant European financial data and the consequent analysis was made on intraday and high-frequency (HF) 2015-2017 data. The ECB's APP, mainly PSPP, together with other instruments of monetary policy have impact on both legs of the SER spread and this paper tries to identify and quantify the degree of this effect by detailed HF market data analysis. HF intraday approach analysis is also being implemented in order to identify which leg of the SER spread was decisive in determining the SER spread change in the first three years of the PSPP implementation. Whether it was the "sovereign bond-based leg" directly affected by the ECB's PSPP purchases or the "interbank lending / STIR-based leg".

This paper investigates the nature of the causal relationships among interbank market interest rates and corporate loans interest rates in four countries from the euro area (Austria, Belgium, France and Italy), and in the Czech Republic. The paper also estimates a development of bank credit margin in banking industries of these countries in period from January 2004 to March 2010. Using Johansen cointegration and Granger causality tests on monthly data we investigate long-term as well as short-term causalities between the interest rates. The results suggest that interest rate relationships differ in all selected countries, and also that foreign majority owners of the Czech banks could affect interest rate policy of the subsidiaries to offset losses realized by the parent banks.