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...

Policy impact studies often suffer from endogeneity problems. Consider the case of the European Central Bank (ECB) Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downward the correlation...

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....

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...