Announcements of ECB unconventional programs: Implications for the sovereign spreads of stressed euro area countries
作者： Matteo Falagiarda , Stefan Reitz
DOI: 10.1016/J.JIMONFIN.2015.02.005
关键词:
摘要: Abstract This paper studies the effects of ECB communications about unconventional monetary policy operations on sovereign spreads Greece, Ireland, Italy, Portugal, and Spain relative to Germany between 2008 2012. More than fifty events concerning non-standard are identified classified with respect specific program. The empirical results suggest that announcements policies substantially reduced long-term government bond yield German counterparts in all countries, except Greece. Particularly, among different types measures, news Securities Markets Programme strongly affected perceived risk five stressed euro area while Outright Monetary Transactions seem have a significant impact only Italy Spain.
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