The Financial and Macroeconomic Effects of the OMT Announcements

Carlo Altavilla, Domenico Giannone and Michele Lenza

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: This paper evaluates the effects of the 2012 announcements of the ECB’s Outright Monetary Transactions (OMT) programme. Using high frequency data, we find that the OMT announcements decreased the Italian and Spanish two years government bond yields by about two percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. The results are robust to controlling for all other relevant macroeconomic and financial news released at the time of the announcements. These outcomes are used to calibrate scenarios in a multi-country model describing the macro-financial linkages in France, Germany, Italy and Spain. The scenario analysis suggests that the reduction in bond yields due to the OMT announcements will be associated to a significant increase in real activity, credit and prices in Italy and Spain.

Keywords: Outright monetary transactions; event study; news; multi-country vector autoregressive model (search for similar items in EconPapers)
JEL-codes: C54 E47 E58 (search for similar items in EconPapers)
Date: 2014-01-14
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (132)

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Related works:
Journal Article: The Financial and Macroeconomic Effects of the OMT Announcements (2016)
Journal Article: The financial and macroeconomic effects of OMT announcements (2015)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The financial and macroeconomic effects of OMT announcements (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:sef:csefwp:352

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