Spillover Effects of the European Central Bank's Expanded Asset Purchase Program to Non-eurozone Countries in Central and Eastern Europe

Mark Antal () and Lorant Kaszab
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Mark Antal: European Central Bank

No 2021/140, MNB Occasional Papers from Magyar Nemzeti Bank (Central Bank of Hungary)

Abstract: For a panel of six Central and Eastern European countries outside the eurozone (Bulgaria, Croatia, Czechia, Hungary, Poland and Romania) we estimate the spillover effects of the European Central Bank's Expanded Asset Purchase Program (APP) on exchange rates, equity prices, government bond yields of various maturities, and CDS spreads. We find that the most pronounced spillovers induced sovereign bond yields to drop by around 1-6 basis points in a two-day time window in response to the Public Sector Purchase Program (PSPP) announcements.

Keywords: ordinary least squares estimation; panel data; unconventional monetary policy (search for similar items in EconPapers)
JEL-codes: E32 E44 E51 F45 F47 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2021
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-mac and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:mnb:opaper:2021/140

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