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Sovereign risk, European crisis resolution policies and bond yields

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Author Info

  • Kilponen , Juha

    ()
    (Bank of Finland Research)

  • Laakkonen, Helinä

    ()
    (Bank of Finland Research)

  • Vilmunen, Jouko

    ()
    (Bank of Finland Research)

Abstract

We 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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File URL: http://www.suomenpankki.fi/en/julkaisut/tutkimukset/keskustelualoitteet/Documents/BoF_DP_1222.pdf
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Bibliographic Info

Paper provided by Bank of Finland in its series Research Discussion Papers with number 22/2012.

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Length: 24 pages
Date of creation: 15 Jun 2012
Date of revision:
Handle: RePEc:hhs:bofrdp:2012_022

Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.suomenpankki.fi/en/
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Keywords: bond markets; policy effects; liquidity; European sovereign debt crisis; monetary policy;

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Cited by:
  1. Christiaan Pattipeilohy & Jan Willem van den End & Mostafa Tabbae & Jon Frost & Jakob de Haan, 2013. "Unconventional monetary policy of the ECB during the financial crisis: An assessment and new evidence," DNB Working Papers 381, Netherlands Central Bank, Research Department.
  2. 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.
  3. António Afonso & Ana Catarina Ramos Félix, 2014. "Contagion in EU Sovereign Yield Spreads," Working Papers Department of Economics 2014/04, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  4. Michael Ehrmann & Chiara Osbat & Jan Strasky & Lenno Uusküla, 2013. "The Euro exchange rate during the European sovereign debt crisis – dancing to its own tune?," Bank of Estonia Working Papers wp2013-3, Bank of Estonia, revised 24 May 2013.

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