The Financial and Macroeconomic Effects of the OMT Announcements

Carlo Altavilla, Domenico Giannone and Michele Lenza

International Journal of Central Banking, 2016, vol. 12, issue 3, 29-57

Abstract: This paper evaluates the macroeconomic effects of the announcements of the European Central Bank’s Outright Monetary Transactions (OMT) program. Using high-frequency data, we find that the OMT announcements decreased the Italian and Spanish two-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macrofinancial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to the OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain, with some relatively muted spillovers in France and Germany.

Date: 2016
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Related works:
Journal Article: The financial and macroeconomic effects of OMT announcements (2015)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The financial and macroeconomic effects of OMT announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of the OMT Announcements (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2016:q:3:a:1

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