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The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?

Urszula Szczerbowicz ()

Working Papers from CEPII research center

Abstract: This paper evaluates the impact of all ECB unconventional monetary policies implemented between 2007 and 2012 on bank and government borrowing costs. We employ event-based regressions to measure the effect of each policy. The borrowing conditions for banks are represented by money market spreads and covered bond spreads while the sovereign bond spreads reflect government borrowing costs. The results show that sovereign bond purchasing programs (SMP, OMT) proved to be the most effective in lowering longer-term borrowing costs for both banks and governments with the largest impact in periphery euroarea countries. The strong impact in the euro-area periphery suggests that the central bank intervention in sovereign market is particularly effective when the sovereign risk is important. Furthermore, both covered bond purchase programs and 3-year loans to banks reduced bank refinancing costs.

Keywords: unconventional monetary policy; quantitative easing; credit easing; sovereign bond spreads; covered bond spreads; Euribor-OIS spread (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2012-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-mac and nep-mon
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Related works:
Journal Article: The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments? (2015) Downloads
Working Paper: The ECB's Unconventional Monetary Policies: Have they lowered market borrowing costs for banks and governments? (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepidt:2012-36

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