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ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds

  • Christoph Trebesch

    ()

  • Jeromin Zettelmeyer

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of the interventions on the targeted instruments. Bonds bought by the ECB see a much steeper drop in yields than those not bought. This is consistent with theories of “local supply effects” in segmented or illiquid bond markets.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2014/wp-cesifo-2014-03/cesifo1_wp4731.pdf
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Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4731.

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Date of creation: 2014
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Handle: RePEc:ces:ceswps:_4731
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