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

IF 1.2 4区经济学 Q3 ECONOMICS

German Economic Review Pub Date : 2019-11-23 DOI:10.1515/GER-2018-0094

R. Fendel, Frederik Neugebauer

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引用次数: 17

摘要

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

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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来源期刊

German Economic Review ECONOMICS-

CiteScore

2.30

自引率

9.10%

发文量

期刊介绍： German Economic Review, the official publication of the German Economic Association (Verein für Socialpolitik), is an international journal publishing original and rigorous research of general interest in a broad range of economic disciplines, including: - macro- and microeconomics - economic policy - international economics - public economics - finance - business administration The scope of research approaches includes theoretical, empirical and experimental work. Innovative and thought-provoking contributions, in particular from younger authors, are especially welcome.