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The Financial and Macroeconomic Effects of OMT Announcements

Carlo Altavilla (), Domenico Giannone () and Michele Lenza ()

No ECARES 2014-31, 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)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2014-06
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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
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