Economics at your fingertips  

Sovereign Risk, European Crisis-Resolution Policies, and Bond Spreads

Juha Kilponen (), Helinä Laakkonen () and Jouko Vilmunen ()

International Journal of Central Banking, 2015, vol. 11, issue 2, 285-323

Abstract: We study the effects of a wide range of European crisisresolution policies, including large-scale asset purchase programs of the ECB, on ten-year sovereign bond spreads of seven European countries. Our results based on daily data on bond spreads suggest that policies that are directly geared towards easing the funding strains of the sovereigns and improving market liquidity have been most effective in calming the European sovereign markets. Quantitatively the largest effects on bond spreads are due to announcements of ECB’s SMP program and OMTs. At the same time, announcements of financial assistance programs have typically increased somewhat the perceived riskiness of long-term bonds in the guarantor countries but reduced the bond spreads in the countries receiving funding.

JEL-codes: E42 F34 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().

Page updated 2022-08-05
Handle: RePEc:ijc:ijcjou:y:2015:q:2:a:8