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Quantitative Easing and Sovereign Yield Spreads : Euro-Area Time-Varying Evidence

Afonso, António - 2017

We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of...

Persistent link: https://www.econbiz.de/10012941802

The Euro area periphery sovereigns' fiscal positions and unconventional monetary policy

Hülsewig, Oliver; Scharler, Johann - 2020

We explore the reaction of the euro area periphery sovereigns' fiscal positions to an unconventional monetary policy shock. We estimate panel vector autoregressive (VAR) models over the period 2010-2018, and identify the shock by imposing sign restrictions. Our results suggest that the...

Persistent link: https://www.econbiz.de/10012154910

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

Unconventional Monetary Policy and Debt Sustainability in Japan

Alberola, Enrique; Cheng, Gong; Consiglio, Andrea; … - 2023

We adapt to the Japanese case a model of stochastic debt sustainability within a monetary policymaking framework. The model incorporates the effects of unconventional monetary policy and its potential unwinding on sovereign debt dynamics. A scenario tree represents stochastic and correlated...

Persistent link: https://www.econbiz.de/10014359168

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2014

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...

Persistent link: https://www.econbiz.de/10013065438

ECB interventions in distressed sovereign debt markets : the case of Greek bonds

Trebesch, Christoph; Zettelmeyer, Jeromin - 2014

Persistent link: https://www.econbiz.de/10010337515

ECB interventions in distressed sovereign debt markets : the case of Greek bonds

Trebesch, Christoph; Zettelmeyer, Jeromin - 2018

We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....

Persistent link: https://www.econbiz.de/10011789289

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2018

Persistent link: https://www.econbiz.de/10012929524

ECB Interventions in Distressed Sovereign Debt Markets : The Case of Greek Bonds

Trebesch, Christoph - 2018

Persistent link: https://www.econbiz.de/10012938010

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis … increasingly drove a wedge between a seemingly resilient Euro-Zone core and its faltering periphery, its first collateral victims … were the private banks of the hardest-hit sovereigns. They were rapidly followed by the rest of the Euro-Zone's banks as a …

Persistent link: https://www.econbiz.de/10013063273