Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()

We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with high...

Descripción completa

Detalles Bibliográficos
Autores principales: Moessner, Richhild, de Haan, Jakob
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9014297/
https://www.ncbi.nlm.nih.gov/pubmed/35463215
http://dx.doi.org/10.1016/j.frl.2021.102055
Descripción
Sumario:We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcement of the PEPP. This occurred after these term premia had risen in response to a prior monetary policy press conference statement by the ECB president that the ECB was “not here to close spreads”.

Ejemplares similares