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Country-specific Euro area government bond yield reactions to ECB’s non-standard monetary policy announcements

  • 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.

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Metadaten
Verfasserangaben:Ralf Fendel, Frederik Neugebauer
URN:urn:nbn:de:hbz:992-opus4-6454
Schriftenreihe (Bandnummer):WHU – Working Paper Series in Economics (WP 18/02)
Verlag:WHU - Otto Beisheim School of Management
Verlagsort:Vallendar
Dokumentart:Arbeitspapier
Sprache:Englisch
Datum der Veröffentlichung (online):07.06.2018
Datum der Erstveröffentlichung:07.06.2018
Datum der Freischaltung:07.06.2018
Freies Schlagwort / Tag:Europäische Zentralbank; Geldpolitik; Staatsanleihenrenditen; Studie
European Central Bank; Government bond yields; Monetary policy; Study
Seitenzahl:43
Institute:WHU Economics Group / Chair of Monetary Economics
JEL-Klassifikation:E Macroeconomics and Monetary Economics / E4 Money and Interest Rates / E44 Financial Markets and the Macroeconomy
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E58 Central Banks and Their Policies
G Financial Economics / G1 General Financial Markets / G14 Information and Market Efficiency; Event Studies
Lizenz (Deutsch):Copyright for this publication