Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic

被引：9

作者：

Moessner, Richhild ^{[1
,2
,4
]}

de Haan, Jakob ^{[3
,4
]}

机构：

[1] Bank Int Settlements, Basel, Switzerland

[2] NIESR, London, England

[3] Univ Groningen, Groningen, Netherlands

[4] CESifo, Munich, Germany

来源：

FINANCE RESEARCH LETTERS | 2022年 / 44卷

关键词：

Monetary policy; Asset purchases; Term premia; Sovereign risk;

D O I：

10.1016/j.frl.2021.102055

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcement of the PEPP. This occurred after these term premia had risen in response to a prior monetary policy press conference statement by the ECB president that the ECB was "not here to close spreads".

引用

页数：6

共 50 条

[1] Euro area sovereign bond risk premia before and during the Covid-19 pandemic
Corradin, Stefano
Schwaab, Bernd
[J]. EUROPEAN ECONOMIC REVIEW, 2023, 153
[2] The trilemma of expansionary monetary policy in the Euro area during the COVID-19 crisis
Lang, Sebastian
Schadner, Wolfgang
[J]. FINANCE RESEARCH LETTERS, 2021, 42
[3] Fiscal policy response to the COVID-19 pandemic in the euro area
Tilli, Riccardo
D'Imperio, Paolo
Fiorelli, Cristiana
[J]. ECONOMICS BULLETIN, 2023, 43 (01):
[4] An Assessment of Unconventional Monetary Policy During COVID-19 Pandemic in India
Rao, D. Tripati
Kumar, Rahul
[J]. JOURNAL OF EMERGING MARKET FINANCE, 2023, 22 (03) : 297 - 325
[5] The effects of monetary policy in the euro area
Ehrmann, M
Gambacorta, L
Martinez-Pagés, J
Sevestre, P
Worms, A
[J]. OXFORD REVIEW OF ECONOMIC POLICY, 2003, 19 (01) : 58 - 72
[6] Monetary policy as market stabilizer in the COVID-19 pandemic
Shan, Yimin
Chen, Yang
Xiao, Yajun
[J]. FINANCE RESEARCH LETTERS, 2023, 55
[7] The portfolio of euro area fund investors and ECB monetary policy announcements
Bubeck, Johannes
Habib, Maurizio Michael
Manganelli, Simone
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2018, 89 : 103 - 126
[8] Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic
Duttilo, Pierdomenico
Gattone, Stefano Antonio
Di Battista, Tonio
[J]. MATHEMATICS, 2021, 9 (11)
[9] Long-term inflation expectations and monetary policy in the euro area before the pandemic
Neri, Stefano
[J]. EUROPEAN ECONOMIC REVIEW, 2023, 154
[10] Information effects of euro area monetary policy
Kerssenfischer, Mark
[J]. ECONOMICS LETTERS, 2022, 216

← 1 2 3 4 5 →