We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Empirical event studies estimate that Large Scale Asset Purchases (LSAP) push down long-term interest rates through the portfolio balance channel. However, since portfolio reallocation takes time to materialise, a longer horizon may be more appropriate to assess the effects of LSAP. With a...

We investigate the synchronization of Eurozone's government bond yields at different maturities. For this purpose, we combine principal component analysis with random matrix theory. We find that synchronization depends upon yields maturity. Short-term yields are not synchronized. Medium- and...