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Macroeconomic news and sovereign interest rate spreads before and during Quantitative Easing

Author

Listed:
  • Gerda Kirpson
  • Martti Randveer
  • Nicolas Reigl
  • Karsten Staehr
  • Lenno Uuskula

Abstract

This paper studies how macroeconomic news affected the spreads of Italian sovereign bonds before and during the quantitative easing by the European Central Bank. Daily changes in the bond spreads are regressed on macroeconomic news shocks, where the news shocks are computed as the difference between the published data and the preceding private-sector forecasts. The analysis shows that macroeconomic news shocks had economically and statistically significant effects in 2012–2014 before quantitative easing, but the effects were negligible afterwards with a possible exception of a period in 2019 when the net asset purchases were paused

Suggested Citation

  • Gerda Kirpson & Martti Randveer & Nicolas Reigl & Karsten Staehr & Lenno Uuskula, 2022. "Macroeconomic news and sovereign interest rate spreads before and during Quantitative Easing," Bank of Estonia Working Papers wp2022-6, Bank of Estonia, revised 29 Jun 2022.
    • Handle: RePEc:eea:boewps:wp2022-6
    DOI: 10.23656/25045520/062022/0196
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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