Ralf Fendel
;
Frederik Neugebauer

country-specific euro area government bond yield reactions to ecb's non-standard monetary policy program announcements

This paper employs event study methods to evaluate the effects of ECB's non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

Data and Resources

Suggested Citation

Fendel, Ralf; Neugebauer, Frederik (2019): Country-Specific Euro Area Government Bond Yield Reactions to ECB's Non-Standard Monetary Policy Program Announcements. Version: 1. German Economic Review. Dataset. http://dx.doi.org/10.15456/ger.2019312.174701