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ECB monetary policy surprises and Euro area sovereign yield spreads

Author

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  • Abdelkader Derbali
  • Tarek Chebbi

Abstract

The importance of ECB monetary policy surprises in explaining movements in Euro area sovereign yield spreads is explored using daily data for ten countries for 2011-2015. The unanticipated component of the monetary policy is extracted by using changes in the three-month Euribor futures rate immediately after the ECB meetings. Our results show that monetary policy surprises from the ECB, when significant, exert a strong influence on yield spread returns and volatilities. The effects of ECB news announcement surprises on the debt markets differ substantially across PIIGS and non-PIIGS countries. It is important to note that the persistence of volatility is clear across all samples and it shown by the significance and the positive sign of associated coefficients.

Suggested Citation

  • Abdelkader Derbali & Tarek Chebbi, 2018. "ECB monetary policy surprises and Euro area sovereign yield spreads," International Journal of Management and Network Economics, Inderscience Enterprises Ltd, vol. 4(2), pages 177-198.
    • Handle: RePEc:ids:ijmnec:v:4:y:2018:i:2:p:177-198
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