Arbeitspapier
Effects of the ECB's communication on government bond spreads
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.
- ISBN
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978-3-95729-952-9
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 21/2023
- Classification
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Wirtschaft
Monetary Policy
Central Banks and Their Policies
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
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Event study
central bank communication
ECB
PEPP
sovereign yields
- Event
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Geistige Schöpfung
- (who)
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Camarero Garcia, Sebastian
Neugebauer, Frederik
Russnak, Jan
Zimmermann, Lilli
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
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2023
- Handle
- Last update
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10.03.2025, 11:43 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
- Camarero Garcia, Sebastian
- Neugebauer, Frederik
- Russnak, Jan
- Zimmermann, Lilli
- Deutsche Bundesbank
Time of origin
- 2023
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Decomposition of country-specific corporate bond spreads
CDS market structure and bond spreads
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Moral suasion in regional government bond markets
Convenient but risky government bonds
Convenient but risky government bonds
Analysing funding costs advantages using European primary market bond yield spreads
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The time-varying impact of systematic risk factors on corporate bond spreads
The effects of government bond purchases on leverage constraints of banks and non-financial firms
The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants
Effects of the ECB's communication on government bond spreads
Decomposition of country-specific corporate bond spreads
CDS market structure and bond spreads
CDS market structure and bond spreads
Moral suasion in regional government bond markets
Convenient but risky government bonds
Convenient but risky government bonds
Analysing funding costs advantages using European primary market bond yield spreads
Analysing funding costs advantages using European primary market bond yield spreads
The time-varying impact of systematic risk factors on corporate bond spreads
The effects of government bond purchases on leverage constraints of banks and non-financial firms