Effects of the ECB’s communication on government bond spreads

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

Journal of International Money and Finance, 2024, vol. 142, issue C

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: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000287

DOI: 10.1016/j.jimonfin.2024.103041

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