The financial and macroeconomic effects of OMT announcements

Domenico Giannone, Carlo Altavilla and Michele Lenza

No 1707, Working Paper Series from European Central Bank

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 OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macro-financial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany. JEL Classification: E47, E58, C54

Keywords: event study; multi-country vector autoregressive model; news; Outright Monetary Transactions (search for similar items in EconPapers)
Date: 2014-08
New Economics Papers: this item is included in nep-eec, nep-mac and nep-mon
Note: 2279334
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (135)

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Related works:
Journal Article: The Financial and Macroeconomic Effects of the OMT Announcements (2016)
Journal Article: The financial and macroeconomic effects of OMT announcements (2015)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of OMT Announcements (2014)
Working Paper: The Financial and Macroeconomic Effects of the OMT Announcements (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141707

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