Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy
Journal Title: Finance a uver - Year 2018, Vol 68, Issue 2
Abstract
We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries.
Authors and Affiliations
António Afonso, Mina Kazemi
Keywords
Related Articles
- EP ID EP544346
- DOI -
- Views 151
- Downloads 0
Benefit-Retirement Age Schedules and Redistribution in Public Pension Systems
The dependence of benefits on the retirement age (the schedule) is an important feature in any public pension system. The nonfinancial defined contribution (NDC) pension system has recently become popular mainly because...
Self-selection Bias and the Listing Status of Target Firms: Value Effects in the Spanish Market
As corporate announcement decisions are non–random events, standard OLS estimations must be corrected for the self–selection bias. In the M&A field several studies suggest that previous evidence on univariate analysis of...
Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic
Various approaches have been employed to explore the possibility of non-linear feedback between the real and financial sectors. The present study focuses on the impact of real shocks on selected financial sector indicato...
Quantifying the Effects of the CNB's Exchange Rate Commitment: A Synthetic Control Method Approach
In this paper I evaluate the quantitative effects of the Czech National Bank’s commitment to keep the Koruna from appreciating that were put in place in 2013. I focus on the policy’s impact on output, unemployment, and i...
Historical Analysis of Monetary Policy Reaction Functions: Do Real-Time Data Matter?
This paper investigates the differences between parameter estimates of monetary policy reaction functions using real-time data and those using revised data. The model is a New Keynesian DSGE model of the Czech, Hungarian...