Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201678
Authors: 
Feldkircher, Martin
Gruber, Thomas
Huber, Florian
Year of Publication: 
2019
Series/Report no.: 
Working Papers in Economics 2019-01
Abstract: 
In this paper, we use a Bayesian global vector autoregressive model to analyze the macroeconomic effects of a flattening of euro area yield curves. Our findings indicate positive effects on real activity and prices, both within the euro area as well as in neighboring economies. Spillovers transmit through an exchange rate channel and a broad financial channel. We complement our analysis by conducting a portfolio optimization exercise. Our results show that multi-step-ahead forecasts conditional on the euro area yield curve shock improve Sharpe ratios relative to other investment strategies.
Subjects: 
Unconventional monetary policy
spillovers
GVAR
minimum variance portfolio
JEL: 
C30
E52
F41
E32
Document Type: 
Working Paper
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