The financial and macroeconomic effects of OMT announcements

Arbeitspapier

This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macro-financial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany.

Object Details

• ISBN: 978-92-899-1115-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1707

Classification and Topics

• Classification: Wirtschaft ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Central Banks and Their Policies ; Quantitative Policy Modeling
• Subject: Event study ; multi-country vector autoregressive model ; news ; Outright Monetary Transactions

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Altavilla, Carlo ; Giannone, Domenico ; Lenza, Michele
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/154140
• Last update: 10.03.2025, 11:43 AM CET