The ECB's Unconventional Monetary Policies: Have they lowered market borrowing costs for banks and governments?
Urszula Szczerbowicz ()
Discussion papers from Research Institute of Economy, Trade and Industry (RIETI)
This paper evaluates the impact of the European Central Bank's (ECB) unconventional policies on bank and government borrowing costs. We employ event-based regressions to assess and compare the effects of asset purchases and exceptional liquidity announcements on the money markets, covered bond markets, and sovereign bond markets. The results show that (i) exceptional liquidity measures (3-year loans to banks and setting the ECB deposit rate to zero) significantly reduced persistent money market tensions and that (ii) asset purchases were the most effective in lowering the refinancing costs of banks and governments in the presence of high sovereign risk. In particular, we show how the interdependence between sovereign and bank risk amplifies the effectiveness of the ECB's asset purchases: bank-covered bond purchases diminish sovereign spreads while sovereign bond purchases reduce covered bond spreads.
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Journal Article: The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments? (2015)
Working Paper: The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments? (2012)
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:eti:dpaper:14008
Access Statistics for this paper
More papers in Discussion papers from Research Institute of Economy, Trade and Industry (RIETI) Contact information at EDIRC.
Bibliographic data for series maintained by TANIMOTO, Toko ().