Heterogeneous effects of unconventional monetary policy on bond yields across the euro area

Arbeitspapier

This paper investigates the impact of the European Central Bank's unconventional monetary policies (UMP) between 2008-2019 on the European government bond yields. It adopts a novel econometric approach that combines a data-rich factor analysis and VAR with heteroskadasiticy based identification. The results identify a significant and substantial impact for all countries and maturities, but stronger and persistent impact for the periphery. When we decompose the impact into the separate yield components, we find that the UMP decreases the market component for all countries. It decreases the risk-mutualization component for the periphery permanently at the cost of a small increase for the core countries, which provides evidence for the risk-mutualization in the European Monetary Union.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: LEAF Working Paper Series ; No. 19-06

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models ; Interest Rates: Determination, Term Structure, and Effects ; Monetary Policy ; Central Banks and Their Policies ; International Policy Coordination and Transmission ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: unconventional monetary policy ; risk-mutualization ; cross-country difference ; sovereign bond yields ; ECB ; EMU

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Demir, Ishak ; Eroglu, Burak A. ; Yildirim-Karaman, Secil
• Ereignis: Veröffentlichung
• (wer): University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF)
• (wo): Lincoln
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/232507
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ