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Impact of the Asset Purchase Programme on euro area government bond yields using market news

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Cited by:

  1. Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4617-4631, September.
  2. Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  3. Zhou, Siwen, 2019. "Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework," MPRA Paper 92530, University Library of Munich, Germany.
  4. Bailey, Andrew & Bridges, Jonathan & Harrison, Richard & Jones, Josh & Mankodi, Aakash, 2020. "The central bank balance sheet as a policy tool: past, present and future," Bank of England working papers 899, Bank of England.
  5. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2021. "Are all Central Bank Asset Purchases the Same? Different Rationales, Different Effects," Working Papers hal-03554141, HAL.
  6. Blix Grimaldi, Marianna & Crosta, Alberto & Zhang, Dong, 2021. "The Liquidity of the Government Bond Market – What Impact Does Quantitative Easing Have? Evidence from Sweden," Working Paper Series 402, Sveriges Riksbank (Central Bank of Sweden).
  7. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
  8. Kamate, Vidya, 2023. "Unconventional monetary policy measures and money markets: Estimating the impact of targeted repo operations on asset prices," Finance Research Letters, Elsevier, vol. 55(PB).
  9. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," Working Paper Series 2219, European Central Bank.
  10. Andrejs Zlobins, 2020. "Country-level effects of the ECB’s expanded asset purchase programme," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 20(2), pages 187-217.
  11. Frederic Opitz, 2020. "Why narrative information matters: Evidence from the asset purchase program of the ECB," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/994, Ghent University, Faculty of Economics and Business Administration.
  12. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2021. "How have the European central bank’s monetary policies been affecting financial markets in CEE-3 countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 43-83, March.
  13. Gergely Hudecz & Elisabetta Vangelista & Robert Blotevogel, 2022. "Asset purchases and sovereign risk premia in the euro area during the pandemic," Working Papers 55, European Stability Mechanism, revised 12 Sep 2022.
  14. Dana Kiseľáková & Paulina Filip & Erika Onuferová & Tomáš Valentiny, 2020. "The Impact of Monetary Policies on the Sustainable Economic and Financial Development in the Euro Area Countries," Sustainability, MDPI, vol. 12(22), pages 1-21, November.
  15. Cezar, Rafael & Silvestrini, Maéva, 2021. "Impact of the ECB Quantitative Easing on the International Investment Position," International Economics, Elsevier, vol. 165(C), pages 241-263.
  16. Christophe Blot & Fabien Labondance, 2021. "Beyond the Interest Rate Pass-through: Monetary Policy and Banks Interest Rates during the Effective Lower Bound," Working Papers hal-04221606, HAL.
  17. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2020. "The role of ECB monetary policy and financial stress on Eurozone sovereign yields," Empirical Economics, Springer, vol. 59(3), pages 1189-1211, September.
  18. Havlik, Annika & Heinemann, Friedrich & Helbig, Samuel & Nover, Justus, 2022. "Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic," Journal of International Money and Finance, Elsevier, vol. 122(C).
  19. Lucas Hafemann & Peter Tillmann, 2020. "The Aggregate and Country-Specific Effectiveness of ECB Policy: Evidence from an External Instruments VAR Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 16(6), pages 97-136, December.
  20. Gunther Tichy, 2019. "The Neglected Mass Saving. The Economic Consequences of Increasing Intermediation," WIFO Bulletin, WIFO, vol. 24(17), pages 153-166, December.
  21. Katharina Bergant & Michael Fidora & Martin Schmitz, 2020. "International Capital Flows at the Security Level – Evidence from the ECB’s Asset Purchase Programme," IMF Working Papers 2020/046, International Monetary Fund.
  22. Christophe Blot & Caroline Bozou & Jérôme Creel & Paul Hubert, 2022. "The Conditional Path of Central Bank Asset Purchases," Working papers 885, Banque de France.
  23. Franck Martin & Jiangxingyun Zhang, 2017. "Impact of QE on European sovereign bond market," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2017-04, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
  24. Lucas Hafemann & Peter Tillmann, 2017. "The Aggregate and Country-Specific Effectiveness of ECB Policy: Evidence from an External Instruments (VAR) Approach," European Economy - Discussion Papers 063, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  25. Holm-Hadulla, Fédéric & Thürwächter, Claire, 2021. "Heterogeneity in corporate debt structures and the transmission of monetary policy," European Economic Review, Elsevier, vol. 136(C).
  26. Codogno, Lorenzo & van den Noord, Paul, 2021. "Going fiscal? A stylised model with fiscal capacity and a safe asset in the Eurozone," LSE Research Online Documents on Economics 114477, London School of Economics and Political Science, LSE Library.
  27. Francesco Giuseppe Cordoni & Luca Di Persio & Yilun Jiang, 2020. "A Bank Salvage Model by Impulse Stochastic Controls," Risks, MDPI, vol. 8(2), pages 1-31, June.
  28. Francesco Cordoni & Luca Di Persio & Yilun Jiang, 2019. "A bank salvage model by impulse stochastic controls," Papers 1910.03056, arXiv.org.
  29. Dwyer, Gerald P. & Gilevska, Biljana & Nieto, Maria J. & Samartín, Margarita, 2023. "The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 87(C).
  30. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
  31. Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2017. "Eurozone bond market dynamics, ECB monetary policy and financial stress," Documents de Travail de l'OFCE 2017-18, Observatoire Francais des Conjonctures Economiques (OFCE).
  32. Carlo Altavilla & Giacomo Carboni & Roberto Motto, 2021. "Asset Purchase Programs and Financial Markets: Lessons from the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-48, October.
  33. Malliaropulos, Dimitris & Migiakis, Petros, 2023. "A global monetary policy factor in sovereign bond yields," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 445-465.
  34. Ad Van Riet, 2017. "The ECB’s Fight against Low Inflation: On the Effects of Ultra-Low Interest Rates," IJFS, MDPI, vol. 5(2), pages 1-27, April.
  35. Laséen, Stefan, 2023. "Central bank asset purchases: Insights from quantitative easing auctions of government bonds," Working Paper Series 419, Sveriges Riksbank (Central Bank of Sweden).
  36. Christophe Blot & Paul Hubert & Jérôme Creel & Caroline Bozou, 2023. "The conditionality of monetary policy instruments," Working Papers hal-04159848, HAL.
  37. Hohberger, Stefan & Priftis, Romanos & Vogel, Lukas, 2019. "The macroeconomic effects of quantitative easing in the euro area: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
  38. Andras Lengyel & Massimo Giuliodori, 2022. "Demand Shocks for Public Debt in the Eurozone," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(7), pages 1997-2028, October.
  39. Daniel Monteiro, 2023. "Macrofinancial Dynamics in a Monetary Union," European Economy - Discussion Papers 188, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  40. Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
  41. Florian Urbschat & Sebastian Watzka, 2017. "Quantitative Easing in the Euro Area - An Event Study Approach," CESifo Working Paper Series 6709, CESifo.
  42. Nikolay Hristov & Oliver Hülsewig & Thomas Siemsen & Timo Wollmershäuser, 2019. "Restoring euro area monetary transmission: Which role for government bond rates?," Empirical Economics, Springer, vol. 57(3), pages 991-1021, September.
  43. De Santis, Roberto A. & Holm-Hadulla, Fédéric, 2017. "Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment," Working Paper Series 2052, European Central Bank.
  44. Bank for International Settlements, 2023. "Central bank asset purchases in response to the Covid-19 crisis," CGFS Papers, Bank for International Settlements, number 68, december.
  45. Lemke, Wolfgang & Werner, Thomas, 2020. "Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme," Journal of Banking & Finance, Elsevier, vol. 111(C).
  46. Demetrio Lacava & Giampiero M. Gallo & Edoardo Otranto, 2022. "Unconventional policies effects on stock market volatility: The MAP approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 71(5), pages 1245-1265, November.
  47. Fabian Eser & Wolfgang Lemke & Ken Nyholm & Sören Radde & Andreea Liliana Vladu, 2023. "Tracing the Impact of the ECB’s Asset Purchase Program on the Yield Curve," International Journal of Central Banking, International Journal of Central Banking, vol. 19(3), pages 359-422, August.
  48. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
  49. Stéphanie Pamies & Nicolas Carnot & Anda Pătărău, 2021. "Do Fundamentals Explain Differences between Euro Area Sovereign Interest Rates?," European Economy - Discussion Papers 141, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  50. Dimitris Malliaropulos & Petros Migiakis, 2018. "Quantitative easing and sovereign bond yields: a global perspective," Working Papers 253, Bank of Greece.
  51. Urbschat, Florian & Watzka, Sebastian, 2020. "Quantitative easing in the Euro Area – An event study approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 14-36.
  52. Matthias Burgert & Werner Roeger & Janos Varga & Jan in 't Veld & Lukas Vogel, 2020. "A Global Economy Version of QUEST: Simulation Properties," European Economy - Discussion Papers 126, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  53. Antal, Mark & Kaszab, Lorant, 2022. "Spillovers from the European Central Bank's asset purchases to countries in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 113(C).
  54. Tarek Chebbi, 2021. "The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1897-1916, April.
  55. Markus Heckel & Kiyohiko G. Nishimura, 2022. "Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis," Asian Economic Papers, MIT Press, vol. 21(1), pages 1-28, Winter/Sp.
  56. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
  57. De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
  58. Emanuele Bacchiocchi & Catalin Dragomirescu-Gaina, 2021. "Uncertainty spill-overs: when policy and financial realms overlap," Papers 2102.06404, arXiv.org.
  59. Antonio Afonso & Mina Kazemi, 2018. "Euro Area Sovereign Yields and the Power of Unconventional Monetary Policy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(2), pages 100-119, April.
  60. Florentina Melnic, 2017. "The Financial Crisis Response. Comparative Analysis Between European Union And Usa," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 19, pages 129-155, June.
  61. Nektarios A. Michail & Kyriaki G. LouKa, 2023. "The inefficiency of Quantitative Easing in the Euro Area," Working Papers 2023-3, Central Bank of Cyprus.
  62. Gnewuch, Matthias, 2022. "Spillover effects of sovereign debt-based quantitative easing in the euro area," European Economic Review, Elsevier, vol. 145(C).
  63. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
  64. Baltzer, Markus & Schlepper, Kathi & Speck, Christian, 2022. "The Eurosystem's asset purchase programmes, securities lending and Bund specialness," Discussion Papers 39/2022, Deutsche Bundesbank.
  65. Marc de la Barrera & Juraj Falath & Dorian Henricot & Jean-Alexandre Vaglio, 2017. "The Impact of Forward Guidance on Inflation Expectations: Evidence from the ECB," Working Papers 1010, Barcelona School of Economics.
  66. Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
  67. Marco Bernardini & Antonio M. Conti, 2023. "Announcement and implementation effects of central bank asset purchases," Temi di discussione (Economic working papers) 1435, Bank of Italy, Economic Research and International Relations Area.
  68. Markus Heckel & Kiyohiko G. Nishimura, 2020. "Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis," CARF F-Series CARF-F-501, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  69. G.M. Gallo & D. Lacava & E. Otranto, 2020. "Measuring the Effects of Unconventional Policies on Stock Market Volatility," Working Paper CRENoS 202006, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  70. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2024. "Asymmetric Sovereign Risk: Implications for Climate Change Preparation," IREA Working Papers 202401, University of Barcelona, Research Institute of Applied Economics, revised Jan 2024.
  71. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, december.
  72. Breckenfelder, Johannes & De Fiore, Fiorella & Andrade, Philippe & Karadi, Peter & Tristani, Oreste, 2016. "The ECB's asset purchase programme: an early assessment," Working Paper Series 1956, European Central Bank.
  73. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
  74. Hohberger, Stefan & Ratto, Marco & Vogel, Lukas, 2023. "The macroeconomic effects of unconventional monetary policy: Comparing euro area and US models with shadow rates," Economic Modelling, Elsevier, vol. 127(C).
  75. Jens H. E. Christensen & Nikola Mirkov & Xin Zhang, 2023. "Quantitative Easing and Safe Asset Scarcity: Evidence from International Bond Safety Premia," Working Paper Series 2023-23, Federal Reserve Bank of San Francisco.
  76. Andrejs Zlobins, 2023. "Is There a Portfolio Rebalancing Channel of QE in Latvia?," Working Papers 2023/05, Latvijas Banka.
  77. Wojciech Grabowski & Ewa Stawasz-Grabowska, 2019. "News Releases, Credit Rating Announcements, and Anti-Crisis Measures as Determinants of Sovereign Bond Spreads in the Peripheral Euro-Area Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 69(2), pages 149-173, April.
  78. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2017. "Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies," Working Papers in Economics 17/07, University of Canterbury, Department of Economics and Finance.
  79. Mäkinen, Taneli & Li, Fan & Mercatanti, Andrea & Silvestrini, Andrea, 2022. "Causal analysis of central bank holdings of corporate bonds under interference," Economic Modelling, Elsevier, vol. 113(C).
  80. Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).
  81. Gambetti, Luca & Musso, Alberto, 2017. "The macroeconomic impact of the ECB's expanded asset purchase programme (APP)," Working Paper Series 2075, European Central Bank.
  82. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
  83. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
  84. Lucas Hafemann & Peter Tillmann, 2017. "The aggregate and country-speci c e ectiveness of ECB policy: evidence from an external instruments (VAR) approach," MAGKS Papers on Economics 201720, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  85. Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
  86. Umut Akovali & Kamil Yilmaz, 2021. "Unconventional Monetary Policy and Bond Market Connectedness in the New Normal," Koç University-TUSIAD Economic Research Forum Working Papers 2101, Koc University-TUSIAD Economic Research Forum.
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