This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework to determine shifts in the pricing regime characterising sovereign bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright Monetary Transactions (OMT) programme in August 2012. This regime is characterised by a weakened ...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...
JEL: C23, E43, E62, F34, G01, G12, H60This paper aims at shedding some light on the mechanisms of pr...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of timevariation in ...
We analyse variations in sovereign bond yields and spreads following unconventional monetary policy ...
We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-...
We assess the determinants of sovereign bond yield spreads in the period 1999:01– 2016:07, consideri...
The paper analyses the relative pricing between sovereign CDS spreads and sovereign bond yields, for...
We study the effects of a wide range of European crisis resolution policies, including large-scale a...
We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of...
There have been significant fluctuations in the relative yields of European sovereign debt in the 2...
Previous work has documented a greater sensitivity of long-term government bond yields to fundamenta...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...
JEL: C23, E43, E62, F34, G01, G12, H60This paper aims at shedding some light on the mechanisms of pr...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of time-variation in ...
This paper investigates the role of unconventional monetary policy as a source of timevariation in ...
We analyse variations in sovereign bond yields and spreads following unconventional monetary policy ...
We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-...
We assess the determinants of sovereign bond yield spreads in the period 1999:01– 2016:07, consideri...
The paper analyses the relative pricing between sovereign CDS spreads and sovereign bond yields, for...
We study the effects of a wide range of European crisis resolution policies, including large-scale a...
We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of...
There have been significant fluctuations in the relative yields of European sovereign debt in the 2...
Previous work has documented a greater sensitivity of long-term government bond yields to fundamenta...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...
JEL: C23, E43, E62, F34, G01, G12, H60This paper aims at shedding some light on the mechanisms of pr...
Recently the world economy was confronted to the worst financial crisis since the great depression. ...