Is the ECB unconventional monetary policy effective?

Inês Pereira ()
Additional contact information
Inês Pereira: Erasmus School of Economics

No 61, GEE Papers from Gabinete de Estratégia e Estudos, Ministério da Economia

Abstract: After the financial crisis in 2008, many central banks began to use unconventional monetary policy in order to boost the effective transmission of monetary policy and to provide additional direct monetary stimulus to the economy. This study will make use of an event study to analyse the impact of those unconventional monetary policies implemented by the European Central Bank on nominal and real long-term interest rates. The long-term interest rates being considered are the 10-year government bond yield, the 5 and 10-year corporate bond yield (AAA and BBB) and the 5y5y swap forward rate for the Eurozone. The results show that unconventional monetary policy conducted by the ECB had a significant effect on real and nominal and long-term interest rates. This effect can be more persistent for a specific group of countries during some announcements, namely the 4th of September of 2014 announcement significantly lowered the 10-year government bond yield and BBB 5-year bond yield for Portugal and the remaining PIIGS.

Keywords: Inflation expectations; Unconventional monetary policy; European Central Bank; Long-term interest rates; Event study (search for similar items in EconPapers)
JEL-codes: E42 E44 G14 (search for similar items in EconPapers)
Pages: 54 pages
Date: 2016-09, Revised 2016-09
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon and nep-sog
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published

Downloads: (external link)
https://www.gee.gov.pt/RePEc/WorkingPapers/GEE_PAPERS_61.pdf First version, 2016 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mde:wpaper:0061

Access Statistics for this paper

More papers in GEE Papers from Gabinete de Estratégia e Estudos, Ministério da Economia Contact information at EDIRC.
Bibliographic data for series maintained by Joana Almodovar ().