Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements
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AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.
2017 ◽
Vol 49
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pp. 88-102
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2008 ◽
Vol 33
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pp. 331-363
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2012 ◽
Vol 56
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pp. 36-53
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1988 ◽
Vol 16
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pp. 341-356
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