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

Richhild Moessner

No 721, BIS Working Papers from Bank for International Settlements

Abstract: We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area on ten-year government bond term premia in eleven euro area countries in the wake of the global financial crisis and the euro area sovereign debt crisis. 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 the lowest sovereign risk either increased as in Germany, or were not significantly affected or fell slightly, as in the Netherlands and Finland.

Keywords: monetary policy; asset purchases; financial stability; term premia (search for similar items in EconPapers)
JEL-codes: E58 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2018-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:721

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