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

Author

Listed:
  • Fendel Ralf

    (38942WHU – Otto Beisheim School of Management, Department of Economics, Burgplatz 2, 56179Vallendar, Germany)

  • Neugebauer Frederik

    (38942WHU – Otto Beisheim School of Management, Department of Economics, Burgplatz 2, 56179Vallendar, Germany)

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.

Suggested Citation

  • Fendel Ralf & Neugebauer Frederik, 2020. "Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements," German Economic Review, De Gruyter, vol. 21(4), pages 417-474, December.
    • Handle: RePEc:bpj:germec:v:21:y:2020:i:4:p:417-474:n:3
    DOI: 10.1515/ger-2018-0094
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    More about this item

    Keywords

    ECB; non-standard monetary policy; government bond yields; event study;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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