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Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy

Antonio Afonso and Mina Kazemi ()

Czech Journal of Economics and Finance (Finance a uver), 2018, vol. 68, issue 2, 100-119

Abstract: We assess the determinants of long-term sovereign yield spreads, vis-a-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries.

Keywords: sovereign bonds; non-conventional monetary policy; euro area; panel data (search for similar items in EconPapers)
JEL-codes: C23 E52 G10 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:fau:fauart:v:68:y:2018:i:2:p:100-119