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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

"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

"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

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