IDEAS home Printed from https://ideas.repec.org/a/ids/ijmnec/v4y2018i2p177-198.html
   My bibliography  Save this article

ECB monetary policy surprises and Euro area sovereign yield spreads

Author

Listed:
  • Abdelkader Derbali
  • Tarek Chebbi

Abstract

The importance of ECB monetary policy surprises in explaining movements in Euro area sovereign yield spreads is explored using daily data for ten countries for 2011-2015. The unanticipated component of the monetary policy is extracted by using changes in the three-month Euribor futures rate immediately after the ECB meetings. Our results show that monetary policy surprises from the ECB, when significant, exert a strong influence on yield spread returns and volatilities. The effects of ECB news announcement surprises on the debt markets differ substantially across PIIGS and non-PIIGS countries. It is important to note that the persistence of volatility is clear across all samples and it shown by the significance and the positive sign of associated coefficients.

Suggested Citation

  • Abdelkader Derbali & Tarek Chebbi, 2018. "ECB monetary policy surprises and Euro area sovereign yield spreads," International Journal of Management and Network Economics, Inderscience Enterprises Ltd, vol. 4(2), pages 177-198.
    • Handle: RePEc:ids:ijmnec:v:4:y:2018:i:2:p:177-198
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=95193
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Huan Huu Nguyen & Thanh Phuc Nguyen & Anh Nguyen Tram Tran, 2022. "Impacts of monetary policy transmission on bank performance and risk in the Vietnamese market: Does the Covid-19 pandemic matter?," Cogent Business & Management, Taylor & Francis Journals, vol. 9(1), pages 2094591-209, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijmnec:v:4:y:2018:i:2:p:177-198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=259 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.