The Effects of ECB’s Asset Purchase Announcements on National Government Bond Yields

• • 
  • 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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