Effects of monetary policy announcements on term premia in the euro area during the COVID-19 pandemic.
Asset purchases
Monetary policy
Sovereign risk
Term premia
Journal
Finance research letters
ISSN: 1544-6131
Titre abrégé: Financ Res Lett
Pays: Netherlands
ID NLM: 101768122
Informations de publication
Date de publication:
Jan 2022
Jan 2022
Historique:
received:
31
08
2020
revised:
03
11
2020
accepted:
05
04
2021
entrez:
25
4
2022
pubmed:
26
4
2022
medline:
26
4
2022
Statut:
ppublish
Résumé
We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcement of the PEPP. This occurred after these term premia had risen in response to a prior monetary policy press conference statement by the ECB president that the ECB was "not here to close spreads".
Identifiants
pubmed: 35463215
doi: 10.1016/j.frl.2021.102055
pii: S1544-6123(21)00136-7
pmc: PMC9014297
doi:
Types de publication
Journal Article
Langues
eng
Pagination
102055Informations de copyright
© 2021 The Author(s). Published by Elsevier Inc.
Références
Financ Res Lett. 2020 Jul;35:101512
pubmed: 32562472