| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12399 |
| DP12399 ECB Policies Involving Government Bond Purchases: Impacts and Channels | |
| Stefan Nagel; Annette Vissing-Jørgensen | |
| 发表日期 | 2017-10-27 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds, dollar-denominated sovereign bonds, corporate bonds, and corporate CDS rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and Portugal, considering both the Securities Markets Programme and the Outright Monetary Transactions, yields fall considerably. Decomposing this fall, default risk accounts for 37% of the reduction in yields, reduced redenomination risk for 13%, and reduced market segmentation effects for 50%. Stock price increases in distressed and core countries suggest that these policies also had beneficial macro-spillovers. |
| 主题 | Financial Economics |
| URL | https://cepr.org/publications/dp12399 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541208 |
| 推荐引用方式 GB/T 7714 | Stefan Nagel,Annette Vissing-Jørgensen. DP12399 ECB Policies Involving Government Bond Purchases: Impacts and Channels. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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