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Effects of the ECB's communication on government bond spreads

Author

Listed:
  • Camarero Garcia, Sebastian
  • Neugebauer, Frederik
  • Russnak, Jan
  • Zimmermann, Lilli

Abstract

This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.

Suggested Citation

  • Camarero Garcia, Sebastian & Neugebauer, Frederik & Russnak, Jan & Zimmermann, Lilli, 2023. "Effects of the ECB's communication on government bond spreads," Discussion Papers 21/2023, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdps:212023
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Event study; central bank communication; ECB; PEPP; sovereign yields;
    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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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