Impacts of ECB Unconventional Monetary Policy onEurozone sovereign risk: A Cross-Country Analysis

Anya Dobson
Additional contact information
Anya Dobson: University of Warwick

Warwick-Monash Economics Student Papers from Warwick Monash Economics Student Papers

Abstract: This paper investigates the impact of ECB Unconventional Monetary Policy an-nouncements on the 10-year sovereign bond yields of eleven Euro area countries. Thispaper uses event study methodology to examine expansionary UMP announcements between 1st January 2007 and 31st December 2021. Consistent with the literature, I findsignificant negative announcement effects on sovereign yields collectively examining all programmes. Differences in the magnitude and significance of individual countryreactions are closely related to their solvency status. This is persistent for the most recent programmes in response to the Covid-19 pandemic which extends the scope of current literature. This paper also incorporates intraday analysis to more closely examine the determinants of announcement effects on their respective dates.

Keywords: Monetary Policy; ECB; government bond yields; Covid-19 JEL Classification: G21; G28; E58; F45 (search for similar items in EconPapers)
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... 33_-_anya_dobson.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:wrk:wrkesp:33

Access Statistics for this paper

More papers in Warwick-Monash Economics Student Papers from Warwick Monash Economics Student Papers Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().