4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven different maturities. In identifying this impact, it adopts a novel econometric...

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Macro news have large impact on bond yields in high-frequency data. We aggregate the impact of macro news within each month, which we use in a no-arbitrage term structure models. We find that macro news explain 50 percent in the term premium of the 10-year bond at the monthly frequency and 40...

This paper investigates the impact of the European Central Bank's unconventionalmonetary policies (UMP) between 2008-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis andVAR with heteroskadasiticy based identification....

We examine the impact of the ECB’s Securities Market Program (SMP) and the ECB’s two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are...

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Policy makers often implement austerity measures when the sustainability of public finances is in doubt and, hence, sovereign yield spreads are high. Is austerity successful in bringing about a reduction in yield spreads? We employ a new panel data set which contains sovereign yield spreads for...

This study investigates the international spillover effects of US unconventional monetary policy (UMP) - frequently called large-scale asset purchases or quantitative easing (QE) - on advanced and emerging market economies, using structural vector autoregressive models with high-frequency daily...