Demir, Ishak; Eroglu, Burak A.; Yildirim-Karaman, Secil - 2021
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....