Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements-Reference-Cited by-同舟云学术

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

Published:2019-11-23 Issue:4 Volume:21 Page:417-474
ISSN:1468-0475
Container-title:German Economic Review
language:en
Short-container-title:

Author:

Fendel Ralf¹,Neugebauer Frederik¹^ORCID

Affiliation:

1. 38942 WHU – Otto Beisheim School of Management , Department of Economics , Burgplatz 2 , Vallendar , Germany

Abstract

Abstract This 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.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics

Link

https://www.degruyter.com/document/doi/10.1515/ger-2018-0094/pdf

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