The role of ECB monetary policy and financial stress on Eurozone sovereign yields
Christophe Blot (christophe.blot@sciencespo.fr),
Jerome Creel,
Paul Hubert and
Fabien Labondance
Additional contact information
Christophe Blot: EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Post-Print from HAL
Abstract:
We investigate the role of both ECB's asset purchases and financial stress during the Eurozone sovereign debt crisis. We explain the evolution of long-term interest rates for the euro area as a whole and for some Member States since the ECB started to purchase securities for monetary policy purposes. We address the potential endogeneity between unconventional monetary policies and financial stress, and control for four categories of fundamentals: macroeconomic, international, financial and expectations. We find that expansionary unconventional monetary shocks have reduced the level of sovereign yields, whereas exogenous shocks to financial stress have had no effect. This result is robust to an ARCH representation, to a longer sample and to a panel estimation. In addition, we show that country-specific financial stress has had a positive impact on the change in sovereign yields, while unconventional monetary shocks have had a negative effect. Our results suggest that ECB's unconventional policies have been effective in mitigating sovereign risks across the different Eurozone countries.
Keywords: [No; keyword; available] (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (6)
Published in Empirical Economics, 2020, 59, pp.1189-1211
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: The role of ECB monetary policy and financial stress on Eurozone sovereign yields (2020) 
Working Paper: The role of ECB monetary policy and financial stress on Eurozone sovereign yields (2019)
Working Paper: The role of ECB monetary policy and financial stress on Eurozone sovereign yields (2019)
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:hal:journl:hal-02160378
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).