The Financial and Macroeconomic Effects of OMT Announcements

Domenico Giannone, Michele Lenza and Carlo Altavilla

No 10025, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macrofinancial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany.

Keywords: Event study; Multi-country vector autoregressive model; News; Outright monetary transactions (search for similar items in EconPapers)
JEL-codes: C54 E47 E58 (search for similar items in EconPapers)
Date: 2014-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (125)

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Related works:
Journal Article: The Financial and Macroeconomic Effects of the OMT Announcements (2016)
Journal Article: The financial and macroeconomic effects of OMT announcements (2015)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The financial and macroeconomic effects of OMT announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of the OMT Announcements (2014)
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