Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

Fendel Ralf () and Neugebauer Frederik ()
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Fendel Ralf: 38942WHU – Otto Beisheim School of Management, Department of Economics, Burgplatz 2, 56179Vallendar, Germany
Neugebauer Frederik: 38942WHU – Otto Beisheim School of Management, Department of Economics, Burgplatz 2, 56179Vallendar, Germany

German Economic Review, 2020, vol. 21, issue 4, 417-474

Abstract: This paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

Keywords: ECB; non-standard monetary policy; government bond yields; event study (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G14 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1515/ger-2018-0094

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