An Event Study Analysis of ECB Unconventional Monetary Policy

Giulia Rivolta

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: This paper analyzes the impact of the unconventional monetary policy measures implemented by the European Central Bank since 2007 to cope with the financial and sovereign debt crisis. The focus is on government bond yields of 10 European countries and 6 extra-Euro countries to evaluate the monetary policy transmission mechanism. In particular, I evaluate the effects of monetary policy announcements and liquidity injections on the yield curve. The econometric tool applied is the event-study methodology on policy announcements and liquidity injections (longer-term refinancing operations). Results support the existence of an expectational channel of transmission and, more important, they shows that the effects of unconventional measures are not unique inside the monetary union but vary between countries and over time. In particular, the unfolding of the European sovereign debt crisis completely changed the impact of liquidity injections as they led to a rise in interest rate spreads for highly indebted countries.

Keywords: central bank announcements; unconventional monetary policy; event-study; government bond yields; European sovereign debt crisis (search for similar items in EconPapers)
JEL-codes: E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2014-02-28
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2014-02

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