From Seizure to Spreads. How News About russian Assets Moves European Sovereign Yields

This paper explores how European sovereign bond yields have responded to policy news about russian state assets (their immobilization and subsequent decisions about their use). The results obtained are used to analyze the potential reactions by EU markets if full confiscation of these assets is pursued. We assemble a dated news sample validated with investor attention and estimate announcement effects on 2-, 10-, and 30-year bond yields (country-specific systemic risk proxy) using multi-window event studies, two-way bootstrap confidence bands, and a placebo (Monte-Carlo) design that draws pseudo-events from non-event periods. To assess the persistence of the shock, we extend inference to 60 trading days (with principal component analysis used to extract a common EU factor and a Bayesian-inspired bootstrap). There are three key results. First, markets did react to the news about asset usage, but effects were modest and faded within days to weeks; immobilization triggered a relatively modest response. Second, yield shocks from news about the use of russian assets were broadly comparable to routine policy or news on credit risk downgrades - well below past EU crisis episodes. Third, on the disaggregated country-level, 10-year yields increased consistently in response to the usage news shock, although the magnitudes of these increases varied.