Magnus Andersson

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

9

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10

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Scholarly Papers (9)

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1.

Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions

ECB Working Paper No. 726
Number of pages: 35 Posted: 09 Feb 2007
Magnus Andersson
European Central Bank (ECB)
Downloads 539 (57,603)
Citation 5

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Monetary policy, intraday data

2.

Gauging the Effectiveness of Quantitative Forward Guidance: Evidence from Three Inflation Targeters

ECB Working Paper No. 1098
Number of pages: 44 Posted: 20 Oct 2009
Magnus Andersson and Boris Hofmann
European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 237 (145,872)

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Monetary policy, transparency, central bank communication, forward guidance, term structure of interest rates

3.

Which News Moves the Euro Area Bond Market?

Downloads 233 (148,315)
Citation 23

Which News Moves the Euro Area Bond Market?

ECB Working Paper No. 631
Number of pages: 50 Posted: 01 Jun 2006
Magnus Andersson, Lars Jul Overby and Szabolcs Sebestyen
European Central Bank (ECB), Nykredit Bank and European Central Bank (ECB)
Downloads 172 (196,101)

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Monetary policy, intraday data, macroeconomic announcements

Which News Moves the Euro Area Bond Market?

German Economic Review, Vol. 10, No. 1, pp. 1-31, 2009
Number of pages: 31 Posted: 17 Jun 2011
Szabolcs Sebestyén, Magnus Andersson and Lars Jul Overby
Instituto Universitário de Lisboa (ISCTE-IUL), Business Research Unit (BRU-IUL), European Central Bank (ECB) and Nykredit Bank
Downloads 61 (401,562)
Citation 2

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Monetary policy, high-frequency data, macroeconomic announcements

4.

How Do Euro Area Inflation Expectations Evolve Over Time?

Number of pages: 20 Posted: 06 Mar 2008
Magnus Andersson, Jacob Ejsing and Julian von Landesberger
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 114 (271,836)
Citation 4

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Monetary policy, learning

5.

Are Sectoral Stock Prices Useful for Predicting Euro Area GDP?

ECB Working Paper No. 876
Number of pages: 30 Posted: 26 Feb 2008
Magnus Andersson and Antonello D'Agostino
European Central Bank (ECB) and European Stability Mechanism
Downloads 95 (307,518)

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Forecasting Models, Asset Prices

6.

Evaluating Implied Rnds by Some New Confidence Interval Estimation Techniques

Riksbank Research Paper Series No. 1
Number of pages: 24 Posted: 09 Mar 2006
Magnus Andersson and Magnus Lomakka
European Central Bank (ECB) and American Performance (AP) Fund 1
Downloads 91 (316,065)
Citation 1

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Implied risk-neutral distribution, Confidence intervals, Bootstrap

7.

The Predictive Content of Sectoral Stock Prices: A US-Euro Area Comparison

ECB Working Paper No. 1343
Number of pages: 29 Posted: 31 May 2011
Magnus Andersson, Antonello D'Agostino, Gabe de Bondt and Moreno Roma
European Central Bank (ECB), European Stability Mechanism, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 71 (365,927)

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forecasting real GDP, consumption and investment, sectoral stock prices, stock market valuation metrics, US, Euro Area

8.

Why Does the Correlation between Stock and Bond Returns Vary Over Time?

Applied Financial Economics, Vol. 18, No. 2, 2008
Posted: 16 Jan 2011
Magnus Andersson, Elizaveta Krylova and Sami Vähämaa
European Central Bank (ECB), European Central Bank (ECB) and University of Vaasa

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stock-bond return correlation, dynamic conditional correlation, macroeconomic expectations, implied volatility

9.

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

ECB Working Paper No. 1085
Posted: 28 Aug 2009
Ioana Alexopoulou, Magnus Andersson and Oana Maria Georgescu
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)

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Credit Default Swap Spreads, Corporate Bond Spreads, Liquidity