Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?

David Doran, Peter Dunne, Allen Monks and Gerard O'Reilly
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David Doran: Central Bank of Ireland
Allen Monks: Banque de France

No 07/RT/13, Research Technical Papers from Central Bank of Ireland

Abstract: We examine whether the ECB’s Securities Markets Programme (SMP) was effective in reversing or stabilising adverse movements in Irish sovereign yields. Our initial analysis examines whether daily yield movements responded significantly to interventions. At the daily frequency we find no significant effects despite dealing with endogeneity and omitted variable bias. In contrast, making use of the exact timing of interventions and movements in high-frequency inter-dealer quotes, we find clear evidence that SMP stabilised yields on average from the moment of the initial intervention until the end of trading on intervention days. However, adverse pre-intervention movements were significant and these were seldom reversed by intervention effects.

Keywords: Monetary Policy; Bond Market Interventions; Securities Markets Programme. (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E53 G12 G14 (search for similar items in EconPapers)
Date: 2013-09
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:07/rt/13

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