Effects of the ECB's communication on government bond spreads

Sebastian Camarero Garcia, Frederik Neugebauer, Jan Russnak, Lilli Zimmermann

This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.

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Year of publication:	[2023]
Authors:	Camarero Garcia, Sebastian ; Neugebauer, Frederik ; Russnak, Jan ; Zimmermann, Lilli
Publisher:	Frankfurt am Main : Deutsche Bundesbank
Subject:	Event study \| central bank communication \| ECB \| PEPP \| sovereign yields \| Öffentliche Anleihe \| Public bond \| Politische Kommunikation \| Political communication \| Zentralbank \| Central bank \| EU-Staaten \| EU countries \| Geldpolitik \| Monetary policy \| Eurozone \| Euro area \| Ankündigungseffekt \| Announcement effect \| Zinsstruktur \| Yield curve \| Kommunikation \| Communication \| Ereignisstudie \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (circa 26 Seiten) Illustrationen
Series:	Discussion paper. - Frankfurt am Main : Deutsche Bundesbank, ISSN 2941-7503, ZDB-ID 2660941-1. - Vol. no 2023, 21
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-3-95729-952-9
Other identifiers:	hdl:10419/275674 [Handle]
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014330976