 Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern EuropeMark Antal and Lorant Kaszab Economic Modelling, 2022, vol. 113, issue C Abstract: In the aftermath of the financial crises started in 2008, policy rates reached their zero lower bound. Central banks around the world aimed to stimulate economic growth through asset purchases which boosted confidence and asset prices as well as lowered yields on sovereign bonds. Spillovers from euro area asset purchases to non-eurozone countries have been less studied in the literature. In our event study analysis using daily data 2014–2017, we find that sovereign bond yields of six Central and Eastern European countries drop by around 1–5 basis points in a two-day time window in response to the announcements of the European Central Bank. We also find that credit spreads fall and national currencies appreciate against the euro. These effects materialised through the confidence and signalling channels, which enhanced investments and raised inflation expectations, respectively. Keywords: Sovereign bond yield; Spillovers from euro area asset purchases; CESI uncertainty Index; Credit-default swap spread; VSTOXX volatility Index; Amundi inflation-indexed yield (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001146 DOI: 10.1016/j.econmod.2022.105868 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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