Arbeitspapier
ECB interventions in distressed sovereign debt markets: The case of Greek bonds
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spillovers to close substitute bonds, CDS markets, or corporate bonds. Hence, our findings attest to the power of central bank intervention in times of crisis, but also suggest that in highly distressed situations, this power may not extend beyond those assets actually purchased.
- Language
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Englisch
- Bibliographic citation
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Series: Kiel Working Paper ; No. 2101
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
International Lending and Debt Problems
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Central Bank Asset Purchases
Securities Markets Programme
Eurozone Crisis
Sovereign Risk
Market Segmentation
- Event
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Geistige Schöpfung
- (who)
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Trebesch, Christoph
Zettelmeyer, Jeromin
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2018
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Trebesch, Christoph
- Zettelmeyer, Jeromin
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2018
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