EconPapers    
Economics at your fingertips  
 

Effects of asset purchases and financial stability measures on term premia in the euro area

Richhild Moessner

No 489, National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research

Abstract: We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area in the wake of the global financial crisis and the euro area sovereign debt crisis on ten-year government bond term premia in eleven euro area countries. We find that the term premia of euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcements of asset purchases and financial stability measures. Term premia of countries with lowest sovereign risk either increased as in Germany, or were not significantly affected or fell slightly, as in the Netherlands and Finland.

Keywords: Monetary policy; asset purchases; financial stability; term premia (search for similar items in EconPapers)
JEL-codes: E58 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
Date: 2018-03
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.niesr.ac.uk/sites/default/files/publications/DP489_0.pdf

Related works:
Journal Article: Effects of asset purchases and financial stability measures on term premia in the euro area (2018) Downloads
Working Paper: Effects of asset purchases and financial stability measures on term premia in the euro area (2018) Downloads
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:nsr:niesrd:489

Access Statistics for this paper

More papers in National Institute of Economic and Social Research (NIESR) Discussion Papers from National Institute of Economic and Social Research 2 Dean Trench Street Smith Square London SW1P 3HE. Contact information at EDIRC.
Bibliographic data for series maintained by Library & Information Manager ().

 
Page updated 2019-04-16
Handle: RePEc:nsr:niesrd:489