Effects of the ECB's communication on government bond spreads

Sebastian Camarero Garcia, Frederik Neugebauer, Jan Russnak and Lilli Zimmermann

No 21/2023, Discussion Papers from Deutsche Bundesbank

Abstract: This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.

Keywords: Event study; central bank communication; ECB; PEPP; sovereign yields (search for similar items in EconPapers)
JEL-codes: E52 E58 G14 (search for similar items in EconPapers)
Date: 2023
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mon
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https://www.econstor.eu/bitstream/10419/275674/1/1857979974.pdf (application/pdf)

Related works:
Journal Article: Effects of the ECB’s communication on government bond spreads (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:212023

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