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ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds
Trebesch, Christoph - 2014
Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the … ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of … bought. This is consistent with theories of "local supply effects" in segmented or illiquid bond markets.‬ …
Persistent link: https://www.econbiz.de/10013065438
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ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds
Trebesch, Christoph - 2018
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB … purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting …
Persistent link: https://www.econbiz.de/10012938010
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Fiscal Spillovers in the Euro Area
Caporale, Guglielmo Maria - 2012
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...
Persistent link: https://www.econbiz.de/10013112600
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‘Whatever It Takes’ to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects
Afonso, António - 2017
between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond …
Persistent link: https://www.econbiz.de/10012943161
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria - 2014
This paper analyses the effects of newspaper coverage of macro news on the spread between the yield on the 10-year German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy, the Netherlands, Portugal and Spain) using daily data for...
Persistent link: https://www.econbiz.de/10013045338
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What Do We Really Know About Fiscal Sustainability in the EU? A Panel Data Diagnostic
Afonso, António; Rault, Christophe - 2021
We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks. We also apply modern panel cointegration techniques developed by...
Persistent link: https://www.econbiz.de/10013316576
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The Transmission Mechanism of Credit Support Policies in the Euro Area
Boeckx, Jef - 2017
We use an original monthly dataset of 131 individual euro area banks to examine the effectiveness and transmission mechanism of the Eurosystem's credit support policies since the start of the crisis. First, we show that these policies have indeed been succesful in stimulating the credit flow of...
Persistent link: https://www.econbiz.de/10012955416
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The European Central Bank : Lender of Last Resort in the Government Bond Markets?
De Grauwe, Paul - 2013
be the lender of last resort in the government bond markets of the monetary union, very much like the central banks in … formulated by opponents of the view that the ECB should be the lender of last resort in the government bond markets …
Persistent link: https://www.econbiz.de/10013092424
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian - 2017
development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …
Persistent link: https://www.econbiz.de/10012942366
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Financial Stability in Europe : Banking and Sovereign Risk
Bruha, Jan - 2017
We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector...
Persistent link: https://www.econbiz.de/10012955275