Euroacademia Conferences
Europe Inside-Out: Europe and Europeanness Exposed to Plural Observers (9th Edition)April 24 - 25, 2020
Identities and Identifications: Politicized Uses of Collective Identities (9th Edition)June 12 - 13, 2020
8th Forum of Critical Studies: Asking Big Questions AgainJanuary 24 - 25, 2020
Re-Inventing Eastern Europe (7th Edition)December 13 - 14, 2019
The European Union and the Politicization of Europe (8th Edition)October 25 - 26, 2019
Identities and Identifications: Politicized Uses of Collective Identities (8th Edition)June 28 - 29, 2019
The European Union and the Politicization of Europe (7th Edition)January 25 - 26, 2019- 7th Forum of Critical Studies: Asking Big Questions AgainNovember 23 - 24, 2018
Europe Inside-Out: Europe and Europeanness Exposed to Plural Observers (8th Edition)September 28 - 30, 2018- Identities and Identifications: Politicized Uses of Collective Identities (7th Edition)June 14 - 15, 2018
The Effects of ECB’s Asset Purchase Announcements on National Government Bond Yields
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Presentation speakers
- Frederik Neugebauer, WHU - Otto Beisheim School of Management, Germany
Abstract:
This study evaluates the effects of ECB’s asset purchase announcements on 10-year government bond yields. It covers data from 11 euro zone countries from 01/01/2007 to 31/08/2017 and distinguishes between more solvent countries (Austria, Belgium, Finland, France, Germany, the Netherlands) and less solvent ones (Greece, Ireland, Italy, Portugal, Spain). There are two contributions to the literature. First, the effects of announcements arise with a one day delay claiming that in case of government bond yields markets need some time to react to central bank announcements. Second, the extent of yield reduction is inversely related to the solvency rating of the corresponding countries. The reduction of the spread between both groups during an event is due to a stronger decrease in the latter group. A panel analysis confirms the findings. Employing different data sources, the results are robust for a given event set.
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