Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?
AbstractWe examine whether the ECB’s Securities Markets Programme (SMP) was effective in reversing or stabilising adverse movements in Irish sovereign yields. Our initial analysis examines whether daily yield movements responded significantly to interventions. At the daily frequency we find no significant effects despite dealing with endogeneity and omitted variable bias. In contrast, making use of the exact timing of interventions and movements in high-frequency inter-dealer quotes, we find clear evidence that SMP stabilised yields on average from the moment of the initial intervention until the end of trading on intervention days. However, adverse pre-intervention movements were significant and these were seldom reversed by intervention effects.
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 07/RT/13.
Date of creation: Sep 2013
Date of revision:
Monetary Policy; Bond Market Interventions; Securities Markets Programme.;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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