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)
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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)
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