Christophe Blot

arrow_right Politique monétaire, canaux de transmission de la politique monétaire
arrow_right Gouvernance européenne
arrow_right Prévision macroéconomique
arrow_right Stabilité financière

Macroéconomie internationale, finance, matières premières et économétrie financière

2023-15

Christophe Blot, Caroline Bozou, Jérôme Creel, Paul Hubert

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Abstract: We investigate the financial market effects of central bank asset purchases by exploiting the unique setting provided by ECB’s PSPP and PEPP policies. While the PSPP aimed to counter deflationary risks, the PEPP was announced to alleviate sovereign risks, these programs consist in purchases of identical assets. We assess their impacts on various asset prices. We find that they have different effects on two variables: PSPP positively affects inflation swaps whereas PEPP negatively impacts sovereign spreads, but not the opposite. We document the channels for these differentiated effects and highlight the role of clarifying the rationale of a policy.
Mot(s) clé(s): monetary policy, asset prices, central bank communication, central bank reaction function, intermediate objectives

2018-5

Christophe Blot, Paul Hubert, Fabien Labondance

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Abstract: This paper assesses the linear and non-linear dynamic effects of monetary policy on asset price bubbles. We use a Principal Component Analysis to estimate new bubble indicators for the stock and housing markets in the United States based on structural, econometric and statistical approaches. We find that the effects of monetary policy are asymmetric so the responses to restrictive and expansionary shocks must be differentiated. Restrictive monetary policy is not able to deflate asset price bubbles contrary to the “leaning against the wind” policy recommendations. Expansionary interest rate policies would inflate stock price bubbles whereas expansionary balance-sheet measures would not.
Mot(s) clé(s): Booms and busts, Mispricing, Price deviations, Interest rate policy, Unconventional monetary policy, Quantitative Easing, Federal Reserve