Document details

Euro area sovereign yields and the power of QE

Author(s): Afonso, António ; Kazemi, Mina

Date: 2017

Persistent ID: http://hdl.handle.net/10400.5/13930

Origin: Repositório da UTL

Subject(s): sovereign bonds; non-conventional monetary policy; panel data


Description

We assess the determinants of long-term sovereign yield spreads using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB (standard and non-standard) quantitative easing measures. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads. Moreover, quantitative easing, notably Longer-term Refinancing Operations (LTROs), Targeted LTROs and the Securities Market Program decreased the yield spreads.

Document Type Working paper
Language English
Contributor(s) Afonso, António; Kazemi, Mina
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