Interval (mathematics)

Isabel Schnabel: The state contingency of monetary policy transmission

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Thursday, April 25, 2024

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Liquidity transformation and Eurosystem credit operations

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Thursday, April 25, 2024

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Central bank asset purchases and auction cycles revisited: new evidence from the euro area

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Friday, April 19, 2024

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Working Paper Series

Key Points:

Working Paper Series
Federico Maria Ferrara
Central bank asset purchases
and auction cycles revisited:
new evidence from the euro area

No 2927

Disclaimer: This paper should not be reported as representing the views of the European Central Bank
(ECB).
Abstract
This study provides new evidence on the relationship between unconventional monetary
policy and auction cycles in the euro area.
The findings indicate that Eurosystem?s asset purchase flows mitigate
yield cycles during auction periods and counteract the amplification impact of market volatility.
The dampening effect of central bank asset purchases on auction cycles is more sizeable and
precisely estimated for purchases of securities with medium-term maturities and in jurisdictions
with relatively lower credit ratings.
On the other hand, central banks may influence price dynamics in these markets, most notably
through their asset purchase programmes.
If so, do central bank asset purchases
affect bond yield movements around auction dates?
Auction cycles are present when secondary market yields rise in
anticipation of a debt auction and fall thereafter, generating an inverted V-shaped pattern around auction
dates.
ECB Working Paper Series No 2927
3

1

Introduction

The impact of central bank asset purchases on government bond markets is a focal point of economic and
financial research.
If so,
do central bank asset purchases shape yield sensitivity around auction dates?
The paper provides new evidence on the effects of Eurosystem?s asset purchases on secondary market
yields around public debt auction dates.
The analysis builds on previous research based on aggregate data
on central bank asset purchases and a shorter analysis period (van Spronsen and Beetsma 2022).
Using
granular data on Eurosystem?s asset purchases offers an opportunity to shed light on the mechanisms linking
unconventional monetary policy and auction cycles.
Given this legal constraint, the study
hypothesises that the effect of asset purchases on 10-year auction cycles is mostly indirect, and goes via price
spillovers generated by purchases of securities outside the 10-year maturity space.
Taken together, these results provide new evidence about auction cycles in Europe and contribute to a
larger literature on the flow effects of central bank asset purchases on bond markets.
Section 4 offers descriptive evidence about auction cycles in the euro area.
Auction cycles are defined by the presence of an inverted V-shaped pattern in secondary market yields
around primary auctions.
That is, government bond yields rise in the run-up to the date of the auction and
fall back to their original level after the auction.
Their limited risk-bearing capacities and inventory management operations are
seen as key mechanisms driving auction cycles (Beetsma et al.
ECB Working Paper Series No 2927
7

Second, central bank asset purchases can alleviate the cycle by (partly) absorbing the additional supply
of substitutable instruments in the secondary market (van Spronsen and Beetsma 2022).
This expectation is
supported by several analyses on the price effects of central bank bond purchases (D?Amico and King 2013;
Arrata and Nguyen 2017; De Santis and Holm-Hadulla 2020).
Empirically, previous research has provided evidence of auction cycles taking place across different jurisdictions.
(2016) detect auction cycles for government debt in Italy, but not in Germany, during the European
sovereign debt crisis.
Research on the impact of central bank asset purchases on yield cycles around auctions is still limited.
Their paper provides evidence
that Eurosystem?s asset purchases reduce the presence of auction cycles for euro area government debt.
Nonetheless, several questions remain open about auction cycles and unconventional monetary policy
in the euro area.
Therefore, they
provide only a partial picture of auction cycles and central bank asset purchases in Europe.
The use of granular data on central bank asset purchases is especially important in light of the modalities
of monetary policy implementation of the Eurosystem.
Altogether, these elements motivate further investigation of the relationship between central bank asset
purchases and auction cycles in the euro area.
Taken together, these results confirm that Eurosystem?s asset purchases mitigate yield cycles during auction periods and counteract the amplification impact of market volatility.
The findings confirm that the flow
effects of central bank purchases on yield movements around auction dates are driven by lower-rated countries.
Additional analyses provide evidence for an indirect effect of purchases on auction cycles and highlight
the presence of substantial heterogeneity across jurisdictions and purchase programmes.
Flow Effects of Central Bank Asset Purchases on Sovereign Bond
Prices: Evidence from a Natural Experiment.
Federico Maria Ferrara
European Central Bank, Frankfurt am Main, Germany; email: [email protected]
? European Central Bank, 2024
Postal address 60640 Frankfurt am Main, Germany
Telephone
+49 69 1344 0
Website
www.ecb.europa.eu
All rights reserved.

eFFECTOR Therapeutics Announces Topline Results of Phase 2 KICKSTART Trial of Tomivosertib Combined with Pembrolizumab in Non-Small Cell Lung Cancer

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Thursday, April 4, 2024

Fulvestrant, KICKSTART, Survival, NSCLC, AML, Patient, Acute myeloid leukemia, Cancer, Hope, Pembrolizumab, Lung cancer, Therapy, Breast cancer, Safety, Cox, PFS, Interval (mathematics), Effector, Pharmaceutical industry

The two-sided p value for PFS, based on a stratified log rank test, was 0.21, which did not meet the pre-specified threshold of p≤0.2.

Key Points:

The two-sided p value for PFS, based on a stratified log rank test, was 0.21, which did not meet the pre-specified threshold of p≤0.2.
The median PFS was 13.0 weeks in the tomivosertib plus pembrolizumab arm and 11.7 weeks in the placebo plus pembrolizumab arm, respectively.
There were 67% Grade 3 or higher treatment emergent adverse events in the tomivosertib plus pembrolizumab arm versus 37% in the placebo plus pembrolizumab arm.
“We sincerely appreciate the contributions of all the patients, their families, and trial site professionals who contributed to the execution of the trial.

eFFECTOR Therapeutics Reports Fourth Quarter and Full Year 2023 Financial Results and Provides Corporate Update

Retrieved on:

Monday, March 25, 2024

SOLANA BEACH, Calif. and REDWOOD CITY, Calif., March 25, 2024 (GLOBE NEWSWIRE) -- eFFECTOR Therapeutics, Inc. (NASDAQ: EFTR), a leader in the development of selective translation regulator inhibitors (STRIs) for the treatment of cancer, today reported financial results for the fourth quarter and year ended December 31, 2023, and provided a corporate update.

Key Points:

The primary analysis will reflect 37 PFS events, which provides approximately 80% power to detect a PFS hazard ratio of 0.65 at a p≤0.2.
Revenue: Revenue was zero for the quarter ended December 31, 2023, compared to approximately $0.7 million for the same quarter of 2022.
Research and Development (R&D) Expenses: R&D expenses were $6.1 million for the quarter ended December 31, 2023, compared to $6.6 million for the same quarter of 2022.
The earn-out period expired in August 2023 resulting in a reduction of the corresponding earn-out liability to zero as of December 31, 2023.

GenSight Biologics Announces Initial Results from New Meta-Analyses on Visual Outcomes with LUMEVOQ® Gene Therapy at NANOS 2024

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Tuesday, March 12, 2024

The meta-analyses are the first to focus solely on patients with the m.11778G>A ND4 mutation, which is the most common mutation and one with a poor visual prognosis1.

Key Points:

The meta-analyses are the first to focus solely on patients with the m.11778G>A ND4 mutation, which is the most common mutation and one with a poor visual prognosis1.
This gradient of recovery, based on the CRR measure of visual improvement, is observed at both eye level and patient level (response in one or both eyes).
There is no overlap in confidence intervals when LUMEVOQ® is compared to idebenone and to natural history, indicating a positive difference in visual outcomes.
Follow-up of patients in the Phase III REFLECT study of LUMEVOQ® is ongoing, with topline results at Year 4 of follow-up expected this month.

Speculation in oil and gas prices in times of geopolitical risks

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Wednesday, April 3, 2024

Overall, speculation has only a limited role in both oil and gas price dynamics, although the degree of speculation is somewhat higher in European gas markets than in US gas markets.

Key Points:

Overall, speculation has only a limited role in both oil and gas price dynamics, although the degree of speculation is somewhat higher in European gas markets than in US gas markets.
Empirical estimates also suggest that the role of speculation in amplifying the transmission of fundamental shocks to oil prices is limited, including in times of heightened geopolitical risk.

Business as usual: bank climate commitments, lending, and engagement

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Tuesday, April 2, 2024

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Mark Robinson and Josh Stein Clear Favorites to Win Nominations in Primary Elections for Governor; Likely General Election Matchup Tied

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Friday, February 16, 2024

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In the North Carolina Republican primary election for Governor, Mark Robinson has the support of 53% of likely voters, followed by Bill Graham (13%) and Dale Folwell (7%).

Key Points:

In the North Carolina Republican primary election for Governor, Mark Robinson has the support of 53% of likely voters, followed by Bill Graham (13%) and Dale Folwell (7%).
In the North Carolina Democratic primary election for Governor, Josh Stein has the support of 57% of likely voters, followed by Mike Morgan (7%), and all other candidates under 5%.
A general election matchup between Robinson and Stein is tied, 41%-41%; Trump leads Biden 47%-44%.
The data were weighted by age, education, race, gender, region, mode, and 2024 election modeling.

Gas price shocks and euro area inflation

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Tuesday, February 13, 2024

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We document

Key Points:

We document
how gas price fluctuations have a heterogeneous pass-through to euro area prices
depending on the underlying shock driving them.
How do gas price shocks feed through to euro area
inflation, and is the pass-through shock-dependent?
We analyse the importance of gas price shocks
for euro area inflation in two steps.
We identify three structural shocks driving European gas prices,
inspired by the literature on oil but tailored to the European gas market: (i) a gas supply
shock, which reduces the supply of natural gas to the European market, increases the
gas price and lowers gas inventories; (ii) an economic activity shock, which lifts demand
for gas due to higher economic production, and finally (iii) a shock to gas inventories,
when gas prices are driven by precautionary demand by gas companies.
First, all three identified shocks are
important drivers of gas price dynamics, but they differ in how persistently they push
ECB Working Paper Series No 2905

2

up gas prices.
The effect on euro area HICP of a shock to gas supply is more
persistent and somewhat higher than when gas prices are driven by economic activity
shocks.
A final key finding is that the pass-through of gas market shocks to euro area inflation
appears non-linear.
The unprecedented volatility of gas prices
contributed to the inflation problem in the euro area, with the gas price shocks feeding
through producer prices, wages and persistently lifting core inflation.
More expensive
energy contributed substantially to the rise in inflation in Europe during 2022.2
Figure 1: Gas price and euro area Harmonized Index of Consumer Prices.
How do gas price shocks feed through to euro area
inflation, and is the pass-through shock-dependent?
For instance, about 75% of gas imports to the euro area arrives
through pipelines, making gas imports difficult to substitute and gas markets subject to
3
See for example the evidence by Rubaszek and Uddin (2020) for the US economy.
We analyse the importance of gas price shocks for
euro area inflation in two steps.
We identify three structural shocks driving European gas prices,
inspired by the literature on oil but tailored to the European gas market: (i) a gas supply
shock, which reduces the supply of natural gas to the European market, increases the
gas price and lowers gas inventories; (ii) an economic activity shock, which lifts demand
for gas due to higher economic production, and finally (iii) a shock to gas inventories,
when gas prices are driven by precautionary demand by gas companies.
First, all three identified shocks are
important drivers of gas price dynamics, but they differ in how persistently they push
up gas prices.
But when gas prices are driven by
inventory demand shocks, the price effect typically dies out within one quarter.
A final key finding is that the pass-through of gas market shocks to euro area inflation appears non-linear.
The unprecedented volatility of gas prices
contributed to the inflation problem in the euro area, with the gas price shocks feeding
through producer prices, wages and persistently lifting core inflation.
(2022) and Alessandri and Gazzani (2023) identify gas supply shocks using VAR models,
finding that gas price shocks lead to persistent increases in headline inflation.14 Ba?bura
et al.
(2023) find positive effects of gas price shocks on core inflation in a BVAR for
the euro area that includes one type of gas shock along a longer list of macroeconomic
shocks.
3.1
Data

For the gas market BVAR model, we use gas quantities, gas prices, gas inventories and
euro area industrial production, as displayed in Figure 2.
(2015) to optimize
ECB Working Paper Series No 2905

13

the posterior distribution.16 The vector Y includes the European gas quantity proxy, gas
inventories, the European gas price benchmark and euro area industrial production.
As demand for gas increases, the gas price also rises
while inventories fall as agents use gas in storage to partially satisfy higher demand.
Shocks to gas
quantities driven by gas supply or inventory shocks tend to revert to pre-shock levels after
around five to seven months, while economic activity shocks lead to a more long-lived
increase in gas demand.19 Dynamics in gas inventories are more similar across shocks.
3.4
Historical events in the European gas market

Before analysing the transmission of the different types of gas shocks to euro area prices,
we show how the model interprets the unprecedented gas price rise in 2022 in terms of
driving factors, and compare it with previous historical episodes of heightened gas price
volatility as a way of validating the model.
Inventory shocks play a
slightly smaller role, accounting for 17% of gas quantity and 23% of gas price fluctuations
while the residual component (i.e.
4
Pass-through of gas price shocks to consumer prices

The pass-through of gas price shocks to inflation is likely to be multi-faceted.
We first consider four outcome variables y: the European gas price, euro area HICP,
core HICP and energy HICP.
Third, depending on the driving factor, gas price increases can pass through to core
inflation in the euro area.
The results underline that gas price shocks can have important implications for inflation in the euro area ? depending on the driving factor of higher gas prices.
Casoli, C., Manera, M., and Valenti, D. ?Energy shocks in the euro area: disentangling
the pass-through from oil and gas prices to inflation?.