The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?

Robert Goodhead
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Robert Goodhead: Central Bank of Ireland

No 4/EL/18, Economic Letters from Central Bank of Ireland

Abstract: This letter quanties the eects of ECB policy announcements on sovereign yields by studying movements in forward contracts on meeting days of the Governing Council. The pre-crisis, crisis, and post-crisis periods are studied. The analysis focuses on the cases of Germany, France, Italy and Spain. A breakdown of the transmission of ECB policy to sovereign yields for the Italian and Spanish cases is documented during the crisis period, with transmission to the German and French bonds largely unaected. Transmission for the two stressed economy cases is found to have reverted to that of “normal” times in the post-crisis data.

Date: 2018-05
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