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Effects of asset purchases and financial stability measures on term premia in the euro area

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  • Richhild Moessner

Abstract

We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area in the wake of the global financial crisis and the euro area sovereign debt crisis on 10-year government bond term premia in 11 euro area countries. We find that the term premia of euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcements of asset purchases and financial stability measures. Term premia of countries with lowest sovereign risk either increased as in Germany, or were not significantly affected or fell slightly, as in the Netherlands and Finland.

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  • Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4617-4631, September.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:43:p:4617-4631
    DOI: 10.1080/00036846.2018.1458199
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    2. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," Working Papers hal-03554141, HAL.
    3. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
    4. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    5. Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
    6. Emanuel Kohlscheen & Aaron Mehrotra & Dubravko Mihaljek, 2020. "Residential Investment and Economic Activity: Evidence from the Past Five Decades," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 287-329, December.
    7. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," Working Papers hal-04159848, HAL.
    8. Belke, Ansgar & Gros, Daniel, 2021. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    9. Belke, Ansgar & Gros, Daniel, 2019. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Ruhr Economic Papers 803, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    10. Moessner, Richhild & de Haan, Jakob, 2022. "Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 44(C).
    11. Dante B Canlas & Johnny Noe E Ravalo & Eli M Remolona, 2018. "Do small bank deposits run more than large ones? Three event studies of contagion and financial inclusion," BIS Working Papers 724, Bank for International Settlements.
    12. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).

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    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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