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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - In: Journal of international money and finance 86 (2018), pp. 1-30
Persistent link: https://www.econbiz.de/10012000463
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy …
Persistent link: https://www.econbiz.de/10011759005
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Sovereign debt crisis in Portugal and Spain
Afonso, António; Verdial, Nuno - 2020
The 2007-2008 financial crisis and the European sovereign debt crisis effects rippled through the financial system, banks and sovereign states. We analyze these events, focusing on the Portuguese and Spanish case after providing an insight into the Eurozone. We assessed the pricing of sovereign...
Persistent link: https://www.econbiz.de/10012164218
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Quantitative Easing and Sovereign Yield Spreads : Euro-Area Time-Varying Evidence
Afonso, António - 2017
-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and …. Our results show that the baseline determinants of sovereign bond yield spreads in the Euro area are the bid-ask spread … analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis …
Persistent link: https://www.econbiz.de/10012941802
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Quantitative easing and sovereign yield spreads : Euro-area time-varying evidence
Afonso, António; Jalles, João Tovar - In: Journal of international financial markets, … 58 (2019), pp. 208-224
Persistent link: https://www.econbiz.de/10012127849
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Euro area sovereign yields and the power of QE
Afonso, António; Kazemi, Mina - 2017
Persistent link: https://www.econbiz.de/10011795132
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Euro area sovereign yields and the power of unconventional monetary policy
Afonso, António; Kazemi, Mina - In: Finance a úvěr 68 (2018) 2, pp. 100-119
Persistent link: https://www.econbiz.de/10011897350
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The Effects of Macroeconomic, Fiscal and Monetary Policy Announcements on Sovereign Bond Spreads : An Event Study from the EMU
Afonso, António; Jalles, João Tovar; Kazemi, Mina - 2019
interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP …
Persistent link: https://www.econbiz.de/10014108277
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Euro area sovereign debt crisis and debt mutualisation
Afonso, António; Alcântara, Marcelo - 2016
Persistent link: https://www.econbiz.de/10011549292