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Eurozone bond market dynamics, ECB monetary policy and financial stress

Author

Listed:
  • Christophe Blot

    (OFCE, Sciences Po Paris, France)

  • Jérôme Creel

    (OFCE, Sciences Po Paris, France)

  • Paul Hubert

    (OFCE, Sciences Po Paris, France)

  • Fabien Labondance

    (OFCE, Sciences Po Paris, France)

Abstract

We investigate the role of both ECB’s asset purchases and market sentiment in the Eurozone sovereign debt crisiscontext. We explain the evolution of long-term interest rates in the Eurozone and in some Member States since the ECB started to purchase various securities for monetary policy purposes. We control for four categories offundamentals: macroeconomic, international, financial and expectations. We show that unconventional monetary policies and country-specific market sentiment have significant negative and positive effects respectively. Our results suggest that ECB’s unconventional policies have been effective in mitigating the disruption in the channels of transmission across the different Eurozone countries

Suggested Citation

  • 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).
  • Handle: RePEc:fce:doctra:1718
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    More about this item

    Keywords

    Asset purchase programmes; ECB; sovereign yields; unconventional monetary policies; CISS;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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