Sovereign risk, European crisis resolution policies and bond yields
AbstractWe study the effects of the ECB monetary policy and the European crisis resolution policies on the 10 year sovereign bond yields of seven European countries. We find that some of the decisions have had significant impact on sovereign bond yields and have succeeded in reducing stress in the financial markets. However, the impact of the same policy decision might have been positive for some countries while negative for others, suggesting that contagion effects may be important. The economically most significant effects on the bond yields have been due to the announcement of ECB's Securities Market Programme.
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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 22/2012.
Length: 24 pages
Date of creation: 15 Jun 2012
Date of revision:
bond markets; policy effects; liquidity; European sovereign debt crisis; monetary policy;
Find related papers by JEL classification:
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-14 (All new papers)
- NEP-EEC-2012-07-14 (European Economics)
- NEP-FMK-2012-07-14 (Financial Markets)
- NEP-MAC-2012-07-14 (Macroeconomics)
- NEP-MON-2012-07-14 (Monetary Economics)
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- Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013.
"The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?,"
Working Paper Series
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"“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”,"
IREA Working Papers
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- Peter Claeys & Borek Vašícek, 2012. "“Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”," AQR Working Papers 201209, University of Barcelona, Regional Quantitative Analysis Group, revised Nov 2012.
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