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Can EU bonds serve as euro- denominated safe assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...
Persistent link: https://www.econbiz.de/10013342231
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Emotion in Euro Area Monetary Policy Communication and Bond Yields : The Draghi Era
Kanelis, Dimitrios; Siklos, Pierre L. - 2023
We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...
Persistent link: https://www.econbiz.de/10014255461
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What drives sovereign debt portfolios of banks in a crisis context?
Lamas, Matías; Mencía, Javier - 2019
We study determinants of sovereign portfolios of Spanish banks over a long time-span, starting in 2008. Our findings challenge the view that banks engaged in moral hazard strategies to exploit the regulatory treatment of sovereign exposures. In particular, we show that being a weakly capitalized...
Persistent link: https://www.econbiz.de/10011978836
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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
GARCH framework, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. We find … that the ECB announcements about unconventional monetary policies substantially reduced Italian long-term government bond …
Persistent link: https://www.econbiz.de/10009783711
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The Legality of European Central Bank's Sovereign Bond Purchases
Steinbach, Armin - 2017
The European Central Bank's (ECB) bond purchase program — possibly the most effective anti-crisis tool yet — is … compatible with EU law. Proceedings against the ECB's bond purchases have been brought both before the General Court of the Court …, referred the case to the Court of Justice of the EU. This Article argues that the ECB bond purchase program is compatible with …
Persistent link: https://www.econbiz.de/10012972336
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Funding behaviour of debt management offices and the ECB's Public Sector Purchase Programme
Plessen-Mátyás, Katharina; Kaufmann, Christoph; … - 2021
This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB's Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former...
Persistent link: https://www.econbiz.de/10012518265
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Euro Area Sovereign Risk Spillovers Before and after the Ecb's OMT Announcement
Gilbert, Niels D. - 2019
We study the dynamics of sovereign risk spillovers from (and between) Spain and Italy, before and after the ECB's announcement of the OMT program. We identify domestic Italian and Spanish sovereign risk shocks through an intraday event study. The shocks are used as external instruments in...
Persistent link: https://www.econbiz.de/10012870566
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Did the Absence of a Central Bank Backstop in the Sovereign Bond Markets Exacerbate Spillovers During the Euro-Area Crisis?
Tavlas, G. S.; Gibson, Heather D.; Hall, Stephen G.; … - 2022
The euro-area sovereign debt crisis was characterized by feedback loops between (1) sovereign bond ratings and … circumstance is that the ECB was unable to perform the role of lender of last resort in the sovereign bond markets during the …. Our results are consistent with the view that the absence of a central bank backstop in the sovereign bond markets …
Persistent link: https://www.econbiz.de/10013492299
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Tracing the impact of the ECB's asset purchase programme on the yield curve
Eser, Fabian; Lemke, Wolfgang; Nyholm, Ken; Radde, Sören; … - 2019
We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this...
Persistent link: https://www.econbiz.de/10012024810
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The Liquidity Effects of Official Bond Market Intervention
De Pooter, Michiel - 2016
bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions … understand our empirical results. The theory implies that bond liquidity premia fall in response to both official purchases and …
Persistent link: https://www.econbiz.de/10013007977