32 research outputs found
Trois essais sur la transmission de la politique monétaire en zone euro
No full textAprès Septembre 2008, du fait du gel du marché interbancaire, d’un manque de liquidité, d’une perte de confiance et des difficultés des institutions financières, la transmission de la politique monétaire au sein de la zone euro a été sévèrement altérée. La Banque Centrale Européenne (BCE) a donc dû avoir recours à des politiques monétaires non-conventionnelles. En considérant, au sein de la zone euro, les contraintes imposées à la banque centrale et la fragmentation des marchés financiers, l’objectif de cette thèse empirique est d’évaluer les canaux de transmission des politiques monétaires conventionnelles et non-conventionnelles de la BCE. Les comportements de prêts des banques étant liés à leurs coûts de financement, le premier essai se focalise sur le canal de transmission des prêts bancaires. Il étudie l’évolution des activités de prêts syndiqués d’institutions financières européennes et leur réaction aux politiques de la BCE. La communication de la banque centrale revêt une importance toute particulière dans une union monétaire. Les deuxième et troisième essais se concentrent sur le canal des signaux. Le deuxième essai étudie sur la communication durant les conférences de presse mensuelles ainsi que ses effets sur la prévisibilité des décisions de politique monétaire et sur les rendements et la volatilité des marchés financiers. Le dernier essai se focalise sur l’utilisation du guidage des taux d’intérêt futurs, une communication non-conventionnelle informant les marchés du niveau futur des taux d’intérêt de court-terme. Il étudie l’efficacité de cette annonce et sa capacité à influencer les prévisions de taux d’intérêt faites par les acteurs de marché.After September 2008, due to a frozen interbank market, shortage of liquidity, loss of confidence, and collapsing financial institutions, the monetary policy transmission in the euro area was severely impaired. Under thus exceptional circumstances, the European Central Bank (ECB) had to turn to non-standard monetary policy measures. Considering, in the euro area, the constrained range of actions and fragmented financial markets, the objective of this empirical thesis is to assess the transmission channels of ECB standard and non-standard monetary policies and their effects on both financial markets and the economy.As banks’ lending behaviors are related to their financing costs, the first essay focuses on bank lending channel. It studies the evolution of lending activities of European financial institutions on the syndicated loan market and its reaction to the ECB standard and non-standard policies. The communication of the central bank is of utmost importance in a monetary union with heterogeneous, in terms of economic situations and cultures, countries. The second and third essays study the signaling channel of monetary policy. The second essay focuses on the communication during monthly press conferences and their effects on the predictability of monetary policy decisions and on financial markets returns and volatility. The last essay concentrates exclusively on the use of \textit{forward guidance} on interest rate, a non-standard central bank communication providing information on future short-term interest rates. It discusses its effectiveness and ability to lower market participants expected interest rates
Words are not all created equal: A new measure of ECB communication
No full textInternational audienceWe develop a field-specific dictionary to measure the stance of the European Central Bank (ECB) monetary policy (dovish, neutral, hawkish) and the state of the Eurozone economy (positive, neutral, negative) through the content of ECB press conferences. In contrast with traditional textual analysis, we propose a novel approach using term-weighting and contiguous sequence of words (n-grams) to better capture the subtlety of central bank communication. We find that quantifying ECB communication using our field-specific weighted lexicon helps to explain future ECB monetary decisions when considering an augmented Taylor rule. Regarding European stock market volatility, we find that markets are more (less) volatile on the day following a conference with a negative (positive) tone about the euro area economic outlook. Our indicators significantly outperform a textual classification based on the Loughran–McDonald or Apel–Blix Grimaldi dictionaries and a media-based measure of economic policy uncertainty
Lenders’ asymmetric reaction to the ECB’s monetary policy: The case of the syndicated loan market
No full textInternational audienc
The other side of forward guidance: Are central banks constrained by financial markets?
No full textInternational audienc
Political central bank coverage
No full textInternational audienceWe introduce the concept of Political Central Bank Coverage (PCBC), which refers to the influence of monetary policy-related media coverage on the popularity of political parties. Our study focuses on Germany and examines the period between January 2005 and December 2021. To explore PCBC, we gathered monthly popularity ratings for six German political parties. Through textual analysis we measured media coverage of monetary policy. Subsequently, we estimated popularity functions for the political parties, incorporating our textual measures and a dummy variable indicating the month prior to an election. Our findings highlight the existence of PCBCs in Germany in the month preceding federal elections and elections to the European Parliament. Importantly, these results remain robust across various methodological approaches, including the use of a seemingly unrelated regressions model, alternative preelectoral periods and different occurrence and sentiment measures. Furthermore, our study suggests that the presence of PCBC may be influenced by the partisanship of newspapers considered and the direct communication of the European Central Bank
Opportunistic Political Central Bank Coverage: Does media coverage of ECB's Monetary Policy Impacts German Political Parties' Popularity?
No full textWe define the concept of Opportunistic Political Central Bank Coverage (OPCBC) which corresponds to an opportunistic modification of parties’ popularity induced by media coverage of monetary policy. More precisely, we suppose that the treatment of monetary policy in the press has a significant impact on the popularity of national political parties prior to an election. To investigate on the existence of this concept, we collect monthly popularity ratings for 6 German political forces on the period between January 2005 and December 2021. Then, we measure media coverage through a textual analysis on more than 26.000 press articles from 6 different German newspapers. Finally, we estimate popularity functions for these German political parties in which we introduce our textual measures interacted with a dummy taking the value 1 in the month prior to an election. Our analysis underlines the existence of OPCBCs in Germany in the month preceding federal elections and elections to the European Parliament. This result is robust to the use of a SUR model, alternative pre-electoral periods, the implementation of two different tone analysis, the use of Google Trends data and the interest of the public for members of the ECB. Finally, it seems that the existence of OPCBCs depend on the partisanship of the media studied
To lend or not to lend? The ECB as the ‘intermediary of last resort’
No full textInternational audienceWe investigate the effectiveness of the bank lending channel, that is, whether, and if so how, the accommodative monetary policies of the European Central Bank (ECB) mitigated the disruption in bank lending between 2008 and 2014. We show that both standard and non-standard measures of the ECB's monetary policy alleviated banks' funding constraints, helping support their lending activities in the syndicated loan market. We highlight a cross-sectional asymmetry in banks' responses to both measures based on their size, funding constraints, and financial strength. After the 2008 shock, the standard measures reached their limits, highlighting the need to develop new monetary policy tools to support the lending activities of banks that needed it the most, i.e., that are small and financially constrained. As such, we show that the ECB was successful in doing so, with the implementation of non-standard tools significantly supporting the loan offer of these banks after the crisis
L’évolution de la communication des banques centrales depuis les crises des subprimes et de l’euro
No full textInternational audienc
