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
_version_ 1784688177160650752
author Moessner, Richhild
de Haan, Jakob
author_facet Moessner, Richhild
de Haan, Jakob
author_sort Moessner, Richhild
collection PubMed
description 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”.
format Online
Article
Text
id pubmed-9014297
institution National Center for Biotechnology Information
language English
publishDate 2022
publisher The Author(s). Published by Elsevier Inc.
record_format MEDLINE/PubMed
spelling pubmed-90142972022-04-18 Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic() Moessner, Richhild de Haan, Jakob Financ Res Lett Article 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”. The Author(s). Published by Elsevier Inc. 2022-01 2021-04-08 /pmc/articles/PMC9014297/ /pubmed/35463215 http://dx.doi.org/10.1016/j.frl.2021.102055 Text en © 2021 The Author(s). Published by Elsevier Inc. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Moessner, Richhild
de Haan, Jakob
Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title_full Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title_fullStr Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title_full_unstemmed Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title_short Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic()
title_sort effects of monetary policy announcements on term premia in the euro area during the covid-19 pandemic()
topic Article
url 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
work_keys_str_mv AT moessnerrichhild effectsofmonetarypolicyannouncementsontermpremiaintheeuroareaduringthecovid19pandemic
AT dehaanjakob effectsofmonetarypolicyannouncementsontermpremiaintheeuroareaduringthecovid19pandemic

Ejemplares similares