ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds

Christoph Trebesch and Jeromin Zettelmeyer ()

VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association

Abstract: We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable twist of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spillovers to close substitute bonds, CDS markets, or corporate bonds. The interventions thus had very local effects only, consistent with theories of segmented bond markets.

JEL-codes: E43 E58 F34 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/112809/1/VfS_2015_pid_873.pdf (application/pdf)

Related works:
Journal Article: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2018)
Working Paper: ECB interventions in distressed sovereign debt markets: The case of Greek bonds (2018)
Working Paper: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2018)
Working Paper: ECB interventions in distressed sovereign debt markets: The case of Greek bonds (2018)
Working Paper: ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (2014)
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:zbw:vfsc15:112809

Access Statistics for this paper

More papers in VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy from Verein für Socialpolitik / German Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().