Effects of asset purchases and financial stability measures on term premia in the euro area

Richhild Moessner

Applied Economics, 2018, vol. 50, issue 43, 4617-4631

Abstract: We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area in the wake of the global financial crisis and the euro area sovereign debt crisis on 10-year government bond term premia in 11 euro area countries. We find that the term premia of euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcements of asset purchases and financial stability measures. Term premia of countries with lowest sovereign risk either increased as in Germany, or were not significantly affected or fell slightly, as in the Netherlands and Finland.

Date: 2018
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Working Paper: Effects of asset purchases and financial stability measures on term premia in the euro area (2018)
Working Paper: Effects of asset purchases and financial stability measures on term premia in the euro area (2018)
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DOI: 10.1080/00036846.2018.1458199

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