Publicação
Euro area sovereign yields and the power of unconventional monetary policy
| Resumo: | We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries. |
|---|---|
| Autores principais: | Afonso, António |
| Outros Autores: | Kazemi, Mina |
| Assunto: | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| _version_ | 1865920775470448640 |
|---|---|
| author | Afonso, António |
| author2 | Kazemi, Mina |
| author2_role | author |
| author_facet | Afonso, António Afonso, António Kazemi, Mina Kazemi, Mina |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_str | [{\"Person.name\":\"Afonso, António\"},{\"Person.name\":\"Kazemi, Mina\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Afonso, António Kazemi, Mina |
| datacite.date.Accepted.fl_str_mv | 2018-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2019-04-11T09:17:46Z |
| datacite.date.embargoed.fl_str_mv | 2019-04-11T09:17:46Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| datacite.titles.title.fl_str_mv | Euro area sovereign yields and the power of unconventional monetary policy |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Afonso, António Kazemi, Mina |
| dc.date.Accepted.fl_str_mv | 2018-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2019-04-11T09:17:46Z |
| dc.date.embargoed.fl_str_mv | 2019-04-11T09:17:46Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/17725 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Institute of Economic Studies |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| dc.title.fl_str_mv | Euro area sovereign yields and the power of unconventional monetary policy |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | article |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/476b1e1b-c940-4eff-86f4-15e01e0d07e5/download |
| id | ul_1d7c2d1ec95d689e36e03e9c6c19bee2 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/17725 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/17725 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Afonso, António Kazemi, Mina |
| publishDate | 2018 |
| publisher.none.fl_str_mv | Institute of Economic Studies |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engInstitute of Economic Studiespt_PTWe assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries.application/pdfpt_PTEuro area sovereign yields and the power of unconventional monetary policyAfonso, AntónioKazemi, MinaHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.pt2019-04-11T09:17:46Z20182018-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/17725http://purl.org/coar/access_right/c_abf2open accessSovereign BondsNon-Conventional Monetary PolicyEuro AreaPanel Data560097 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/476b1e1b-c940-4eff-86f4-15e01e0d07e5/downloadFinance a úvěr-Czech Journal of Economics and Finance682100119Prague |
| spellingShingle | Euro area sovereign yields and the power of unconventional monetary policy Euro area sovereign yields and the power of unconventional monetary policy Afonso, António Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data Afonso, António Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| status | SINGLETON |
| subject.fl_str_mv | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| title | Euro area sovereign yields and the power of unconventional monetary policy |
| title_full | Euro area sovereign yields and the power of unconventional monetary policy |
| title_fullStr | Euro area sovereign yields and the power of unconventional monetary policy Euro area sovereign yields and the power of unconventional monetary policy |
| title_full_unstemmed | Euro area sovereign yields and the power of unconventional monetary policy Euro area sovereign yields and the power of unconventional monetary policy |
| title_short | Euro area sovereign yields and the power of unconventional monetary policy |
| title_sort | Euro area sovereign yields and the power of unconventional monetary policy |
| topic | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| topic_facet | Sovereign Bonds Non-Conventional Monetary Policy Euro Area Panel Data |
| url | http://hdl.handle.net/10400.5/17725 |
| visible | 1 |