Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2019-11-23 DOI:10.1515/GER-2018-0094

R. Fendel, Frederik Neugebauer

引用次数: 17

Abstract

Abstract This paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

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欧元区各国政府债券收益率对欧洲央行非标准货币政策计划公告的反应

摘要本文采用事件研究法评估欧洲央行非标准货币政策计划公告对欧元区11个成员国10年期国债收益率的影响。公告的可衡量影响会延迟一天，这意味着政府债券市场需要一段时间才能对欧洲央行的公告做出反应。具体国家的收益率下降程度似乎与相应国家的偿付能力评级成反比。核心国家和外围国家之间的息差之所以缩小，是因为后者的降幅更大。通过让announcement变量与当前的价差水平交互，可以确认这个结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.