Macroeconomic news and sovereign interest rate spreads before and during Quantitative Easing

Gerda Kirpson (), Martti Randveer (), Nicolas Reigl (), Karsten Staehr () and Lenno Uusküla

No wp2022-6, Bank of Estonia Working Papers from Bank of Estonia

Abstract: This paper studies how macroeconomic news affected the spreads of Italian sovereign bonds before and during the quantitative easing by the European Central Bank. Daily changes in the bond spreads are regressed on macroeconomic news shocks, where the news shocks are computed as the difference between the published data and the preceding private-sector forecasts. The analysis shows that macroeconomic news shocks had economically and statistically significant effects in 2012–2014 before quantitative easing, but the effects were negligible afterwards with a possible exception of a period in 2019 when the net asset purchases were paused

JEL-codes: E44 E58 (search for similar items in EconPapers)
Date: 2022-06-29, Revised 2022-06-29
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Journal Article: Macroeconomic news and sovereign interest rate spreads before and during quantitative easing (2024)
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