TY - UNPD A1 - Fendel, Ralf A1 - Neugebauer, Frederik T1 - Country-specific Euro area government bond yield reactions to ECB’s non-standard monetary policy announcements N2 - This paper employs event study methods to evaluate the effects of ECB’s nonstandard monetary policy program announcements on 10-year government bond yields of euro area member states. It covers data from 11 euro area countries from January 1, 2007 to August 31, 2017 and distinguishes between the more solvent countries (Austria, Belgium, Finland, France, Germany, the Netherlands) and the less solvent ones (Greece, Ireland, Italy, Portugal, Spain). The paper makes three contributions to the literature. First, it is the first paper to reveal that measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. Second, it quantifies the country-specific extent of yield reduction which seems inversely related to the solvency rating of the corresponding countries. The reduction of the spread between both groups in response to an event is due to a stronger decrease in the less solvent group. Third, this result is confirmed by letting the announcement variable interact with the spread level, which is an innovation in this strand of literature. By employing different data as control variables, it turns out that the results are robust for a given event set. T3 - WHU – Working Paper Series in Economics - WP 18/02 KW - Europäische Zentralbank KW - European Central Bank KW - Geldpolitik KW - Monetary policy KW - Staatsanleihenrenditen KW - Government bond yields KW - Studie KW - Study Y1 - 2018 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/645 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-6454 PB - WHU - Otto Beisheim School of Management CY - Vallendar ER -