The response of euro area sovereign spreads to the ECB unconventional monetary policies

Hans Dewachter, Leonardo Iania and Jean-Charles Wijnandts

No 309, Working Paper Research from National Bank of Belgium

Abstract: We analyse variations in sovereign bond yields and spreads following unconventional monetary policy announcements by the European Central Bank. Using a two-country, arbitrage-free, shadow-rate dynamic term structure model (SR-DTSM), we decompose countries'yields into expectation and risk premium components. By means of an event study analysis, we show that the ECB's announcements reduced both the average expected instantaneous spread and risk repricing components of Italian and Spanish spreads. For countries such as Belgium and France, the ECB announcements impacted primarily the risk repricing component of the spread.

Keywords: Capital requirements; credit supply; credit register; bank; regulation (search for similar items in EconPapers)
JEL-codes: G01 G21 G28 L5 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2016-10
New Economics Papers: this item is included in nep-eec, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:201610-309

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