EconPapers    
Economics at your fingertips  
 

The Financial and Macroeconomic Effects of OMT Announcements

Carlo Altavilla, Domenico Giannone and Michele Lenza

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT)announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMTannouncements decreased the Italian and Spanish 2-year government bond yields by about 2percentage points, while leaving unchanged the bond yields of the same maturity in Germany andFrance. These results are used to calibrate a scenario in a multi-country model describing the macrofinanciallinkages in France, Germany, Italy, and Spain. The scenario analysis suggests that thereduction in bond yields due to OMT announcements is associated with a significant increase in realactivity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany.

Keywords: outright monetary transactions; event study; news; multi-country vector autoregressive model (search for similar items in EconPapers)
JEL-codes: E47 E58 (search for similar items in EconPapers)
Pages: 23 p.
Date: 2014-06
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 (136)

Published by:

Downloads: (external link)
https://dipot.ulb.ac.be/dspace/bitstream/2013/1636 ... NZA-thefinancial.pdf 2014-31-ALTAVILLA_GIANNONE_LENZA-thefinancial (application/pdf)

Related works:
Journal Article: The Financial and Macroeconomic Effects of the OMT Announcements (2016) Downloads
Journal Article: The financial and macroeconomic effects of OMT announcements (2015) Downloads
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014) Downloads
Working Paper: The financial and macroeconomic effects of OMT announcements (2014) Downloads
Working Paper: The Financial and Macroeconomic Effects of the OMT Announcements (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eca:wpaper:2013/163617

Ordering information: This working paper can be ordered from
http://hdl.handle.ne ... lb.ac.be:2013/163617

Access Statistics for this paper

More papers in Working Papers ECARES from ULB -- Universite Libre de Bruxelles Contact information at EDIRC.
Bibliographic data for series maintained by Benoit Pauwels ().

 
Page updated 2025-03-22
Handle: RePEc:eca:wpaper:2013/163617