Spillover effects of sovereign debt-based quantitative easing in the euro area

Matthias Gnewuch

European Economic Review, 2022, vol. 145, issue C

Abstract: This paper proposes an identification strategy for news about sovereign debt-based asset purchases. It measures sovereign yield changes that are unrelated to movements in risk-free interest rates or risk premiums. Around ECB announcements, these reflect the anticipation of shifts in the effective supply of government debt, caused by central bank purchases. This paper documents that asset purchase news about government bonds have substantial spillovers to corporate bond and stock markets, within and beyond the euro area. Spillovers are unequal across euro-area countries, as stock prices rise most in low-risk countries with very large firms. In contrast, sovereign yields fall homogeneously.

Keywords: Quantitative easing; High-frequency identification; Euro area heterogeneity; ECB; PSPP; Bond scarcity (search for similar items in EconPapers)
JEL-codes: E52 E58 G12 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000654

DOI: 10.1016/j.euroecorev.2022.104133

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