Country-Specific Euro Area Government Bond Yield Reactions to ECB's Non-Standard Monetary Policy Program Announcements

Ralf Fendel & Frederik Neugebauer
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...
This data repository is not currently reporting usage information. For information on how your repository can submit usage information, please see our documentation.