This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from … series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results … show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond …

depend on the type and nature of the surprise and change over time. Decomposing bond yields into expected short-term interest … rates and the term premium reveals that both signalling and portfolio rebalancing effects explain the responses of bond … important to Swiss government bond yields than Swiss stock prices …

development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by … signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread …, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public …