Eurozone bond market dynamics, ECB monetary policy and financial stress

Christophe Blot (), Jerome Creel, Paul Hubert and Fabien Labondance
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Christophe Blot: OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po

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Abstract: We investigate the role of both ECB's asset purchases and market sentiment in the Eurozone sovereign debt crisis context. We explain the evolution of long-term interest rates in the Eurozone and in some Member States since the ECB started to purchase various securities for monetary policy purposes. We control for four categories of fundamentals: macroeconomic, international, financial and expectations. We show that unconventional monetary policies and country-specific market sentiment have significant negative and positive effects respectively. Our results suggest that ECB's unconventional policies have been effective in mitigating the disruption in the channels of transmission across the different Eurozone countries.

Keywords: Asset purchase programmes; ECB; Sovereign yields; Unconventional monetary policies; CISS (search for similar items in EconPapers)
Date: 2017-09-01
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Working Paper: Eurozone bond market dynamics, ECB monetary policy and financial stress (2017)
Working Paper: Eurozone bond market dynamics, ECB monetary policy and financial stress (2017)
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