Euro area sovereign yields and the power of unconventional monetary policy

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2018
Other Authors: Kazemi, Mina
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/17725
Summary: 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.
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spelling Euro area sovereign yields and the power of unconventional monetary policySovereign BondsNon-Conventional Monetary PolicyEuro AreaPanel DataWe 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.Institute of Economic StudiesRepositório da Universidade de LisboaAfonso, AntónioKazemi, Mina2019-04-11T09:17:46Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17725engAfonso, António and Mina Kazemi .(2018). "Euro area sovereign yields and the power of unconventional monetary policy". Finance a úvěr-Czech Journal of Economics and Finance, Vol. 68, No.2: pp. 100-119info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:27:44Zoai:repositorio.ulisboa.pt:10400.5/17725Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:15:39.597254Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Euro area sovereign yields and the power of unconventional monetary policy
title Euro area sovereign yields and the power of unconventional monetary policy
spellingShingle Euro area sovereign yields and the power of unconventional monetary policy
Afonso, António
Sovereign Bonds
Non-Conventional Monetary Policy
Euro Area
Panel Data
title_short Euro area sovereign yields and the power of unconventional monetary policy
title_full Euro area sovereign yields and the power of unconventional monetary policy
title_fullStr Euro area sovereign yields and the power of unconventional monetary policy
title_full_unstemmed Euro area sovereign yields and the power of unconventional monetary policy
title_sort Euro area sovereign yields and the power of unconventional monetary policy
author Afonso, António
author_facet Afonso, António
Kazemi, Mina
author_role author
author2 Kazemi, Mina
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Kazemi, Mina
dc.subject.por.fl_str_mv Sovereign Bonds
Non-Conventional Monetary Policy
Euro Area
Panel Data
topic Sovereign Bonds
Non-Conventional Monetary Policy
Euro Area
Panel Data
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018-01-01T00:00:00Z
2019-04-11T09:17:46Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/17725
url http://hdl.handle.net/10400.5/17725
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António and Mina Kazemi .(2018). "Euro area sovereign yields and the power of unconventional monetary policy". Finance a úvěr-Czech Journal of Economics and Finance, Vol. 68, No.2: pp. 100-119
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Institute of Economic Studies
publisher.none.fl_str_mv Institute of Economic Studies
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833601996945358848

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