Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic

Richhild Moessner and Jakob de Haan

Finance Research Letters, 2022, vol. 44, issue C

Abstract: We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcement of the PEPP. This occurred after these term premia had risen in response to a prior monetary policy press conference statement by the ECB president that the ECB was “not here to close spreads”.

Keywords: Monetary policy; Asset purchases; Term premia; Sovereign risk (search for similar items in EconPapers)
JEL-codes: E52 E58 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001367

DOI: 10.1016/j.frl.2021.102055

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