ECB interventions in distressed sovereign debt markets: The case of Greek bonds
Christoph Trebesch () and
No 12635, CEPR Discussion Papers from C.E.P.R. Discussion Papers
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spillovers to close substitute bonds, CDS markets, or corporate bonds. Hence, our findings attest to the power of central bank intervention in times of crisis, but also suggest that in highly distressed situations, this power may not extend beyond those assets actually purchased.
Keywords: Central Bank Asset Purchases; eurozone crisis; Market Segmentation; Securities Markets Programme; sovereign risk (search for similar items in EconPapers)
JEL-codes: E43 E58 F34 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at firstname.lastname@example.org
Journal Article: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2018)
Working Paper: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2018)
Working Paper: ECB interventions in distressed sovereign debt markets: The case of Greek bonds (2018)
Working Paper: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:12635
Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... rs/dp.php?dpno=12635
Access Statistics for this paper
More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().