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Effects of asset purchases and financial stability measures on term premia in the euro area

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  • Richhild Moessner

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Abstract

We study the effects of the announcements of ECB asset purchases and of financial stability measures in the euro area in the wake of the global financial crisis and the euro area sovereign debt crisis on ten-year government bond term premia in eleven euro area countries. We find that the term premia of euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcements of asset purchases and financial stability measures. Term premia of countries with lowest sovereign risk either increased as in Germany, or were not significantly affected or fell slightly, as in the Netherlands and Finland.

Suggested Citation

  • Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," National Institute of Economic and Social Research (NIESR) Discussion Papers 489, National Institute of Economic and Social Research.
  • Handle: RePEc:nsr:niesrd:489
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    Cited by:

    1. Eric McCoy, 2019. "A Calibration of the Term Premia to the Euro Area," European Economy - Discussion Papers 2015 - 110, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

    More about this item

    Keywords

    Monetary policy; asset purchases; financial stability; term premia;

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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