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We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....
Persistent link: https://www.econbiz.de/10011789289
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...
Persistent link: https://www.econbiz.de/10010756163
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...
Persistent link: https://www.econbiz.de/10010352423
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....
Persistent link: https://www.econbiz.de/10011789854
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...
Persistent link: https://www.econbiz.de/10009783711
This paper undertakes an empirical inquiry concerning the determinants of long-term interest rates on US Treasury securities. It applies the bounds testing procedure to cointegration and error correction models within the autoregressive distributive lag (ARDL) framework, using monthly data and...
Persistent link: https://www.econbiz.de/10011713327
The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flighttoquality and flight-to-liquidity...
Persistent link: https://www.econbiz.de/10009771035
Do governments strategically choose debt maturity to fill supply gaps across maturities? Building on a new panel data set of more than 9,000 individual Eurozone government debt issues between 1999 and 2015, I find that governments increase long-term debt issues following periods of low aggregate...
Persistent link: https://www.econbiz.de/10011844748
In June 2013, the Federal Constitutional Court in Germany held an expert hearing on the suitability of ECB measures, such as the purchase of government bonds, and their compatibility with existing EU and German legislation. The statements of five invited experts are documented here. The authors...
Persistent link: https://www.econbiz.de/10009775129
Persistent link: https://www.econbiz.de/10012000933