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Country-specific euro area government bond yield reactions to ECB's non-standard monetary policy program announcements

Fendel, Ralf; Neugebauer, Frederik - In: German economic review : GER 21 (2020) 4, pp. 417-474

Persistent link: https://www.econbiz.de/10012319576

Responses of Swiss bond yields and stock prices to ECB policy surprises

Nitschka, Thomas; Hager, Diego M. - 2022

We analyse spillovers from European Central Bank (ECB) policy sur-prises to asset markets outside the euro area using Switzerland as a case study. Our results suggest that Swiss asset price responses to ECB policy surprises are signiﬁcant. They depend on the type and nature of the surprise and...

Persistent link: https://www.econbiz.de/10013492717

German bond yields and debt supply : is there a "bund premium"?

Paret, Anne-Charlotte; Weber, Anke - 2019

Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...

Persistent link: https://www.econbiz.de/10012154614

57 Channels (and Nothin on) - Does TV-News on the Eurozone Affect Government Bond Yield Spreads?

Wolfinger, Julia - 2019

-specific economic issues. We find that an increasing share of news about the Eurozone reduces yield spreads, especially when the news …This paper empirically investigates the relationship between TV news coverage and the GIIPS countries’ bond yield … news shows of leading TV stations in 12 countries which include 37,859 news on the EU, on the Eurozone and on country …

Persistent link: https://www.econbiz.de/10012892159

Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads

Kahlert, Dennis - 2017

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By …

Persistent link: https://www.econbiz.de/10012969408

"Whatever it takes!" : how tonality of TV-news affects government bond yield spreads during crises

Hirsch, Patrick; Köhler, Ekkehard A.; Feld, Lars P.; … - 2020

coverage on Eurozone related news. We find FIFA and UEFA tournaments as well as major natural disasters and airplane crashes as … valid instruments for the empirical analysis. The results show that an exogenous variation in the share of Eurozone related … news affects bond spreads. A one percentage point increase in the share of Eurozone related news leads to -7.6 basis points …

Persistent link: https://www.econbiz.de/10012415961