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- handle: 10670/1.06tfgm
- hal: hal-03403623
- doi: 10.1007/s00181-019-01717-1
- SCIENCESPO: 2441/7lre65l4cr8g8rb5id6upacr95
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info:eu-repo/semantics/altIdentifier/hdl/2441/7lre65l4cr8g8rb5id6upacr95
Mots-clés
Asset purchase programmes European central bank Sovereign yields Monetary policy Sovereign debt crisis E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E58 - Central Banks and Their PoliciesSujets proches
Monetary managementCiter ce document
Christophe Blot et al., « The role of ECB monetary policy and financial stress on Eurozone sovereign yields », Archive ouverte de Sciences Po (SPIRE), ID : 10.1007/s00181-019-01717-1
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Résumé
We investigate the role of both ECB’s asset purchases and financial stress during the Eurozone sovereign debt crisis. We explain the evolution of long-term interest rates for the euro area as a whole and for some Member States since the ECB started to purchase securities for monetary policy purposes. We address the potential endogeneity between unconventional monetary policies and financial stress, and control for four categories of fundamentals: macroeconomic, international, financial and expectations. We find that expansionary unconventional monetary shocks have reduced the level of sovereign yields, whereas exogenous shocks to financial stress have had no effect. This result is robust to an ARCH representation, to a longer sample and to a panel estimation. In addition, we show that country-specific financial stress has had a positive impact on the change in sovereign yields, while unconventional monetary shocks have had a negative effect. Our results suggest that ECB’s unconventional policies have been effective in mitigating sovereign risks across the different Eurozone countries.