Reactions of euro area government yields to Covid-19 related policy measure announcements by the European Commission and the European Central Bank

Ralf Fendel, Frederik Neugebauer and Lilli Zimmermann

Finance Research Letters, 2021, vol. 42, issue C

Abstract: This paper evaluates the impact of announcements of Covid-19 related monetary and fiscal policy measures by the European Central Bank and the European Commission. Applying an event study, we find that the announcements predominantly affect the government bond yields of more solvent countries such as Germany and the Netherlands. Since this finding mainly holds for the announcements of fiscal measures, we conclude that the investors are primarily concerned about the future fiscal burden that has to be shouldered by those solvent countries within the euro area.

Keywords: ECB; European Commission; Event study; Covid-19; Sovereign yields (search for similar items in EconPapers)
JEL-codes: E44 E58 E62 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317311

DOI: 10.1016/j.frl.2020.101917

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