Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence
Autor(a) principal: | |
---|---|
Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15995 |
Resumo: | We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sovereign bond yield spreads; ii) compute bivariate time-varying coefficient (TVC) models of each determinant on government bond spreads and analyse the temporal dynamics of resulting estimates. Our results show that the baseline determinants of sovereign bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. In recent years, additional relevant determinants became the QE measures implemented by the ECB in the aftermath of the economic and financial crisis. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis, particularly in the crisis period, 2011-2013. In addition, longer-term refinancing operations contributed to reduce yield spreads in most countries. |
id |
RCAP_48f857d6c0207e01c6a9b37acc9805fe |
---|---|
oai_identifier_str |
oai:www.repository.utl.pt:10400.5/15995 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
spelling |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidencesovereign bondsfiscal policynon-conventional monetary policytime-varying coefficientsmodel selectionpanel dataWe assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sovereign bond yield spreads; ii) compute bivariate time-varying coefficient (TVC) models of each determinant on government bond spreads and analyse the temporal dynamics of resulting estimates. Our results show that the baseline determinants of sovereign bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. In recent years, additional relevant determinants became the QE measures implemented by the ECB in the aftermath of the economic and financial crisis. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis, particularly in the crisis period, 2011-2013. In addition, longer-term refinancing operations contributed to reduce yield spreads in most countries.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioJalles, João2018-09-28T10:17:42Z2017-122017-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15995engAfonso, António e João Jalles (2017). "Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence". Instituto Superior de Economia e Gestão – REM Working paper nº 020 - 20172184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:52Zoai:www.repository.utl.pt:10400.5/15995Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:30.499043Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
title |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
spellingShingle |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence Afonso, António sovereign bonds fiscal policy non-conventional monetary policy time-varying coefficients model selection panel data |
title_short |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
title_full |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
title_fullStr |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
title_full_unstemmed |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
title_sort |
Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence |
author |
Afonso, António |
author_facet |
Afonso, António Jalles, João |
author_role |
author |
author2 |
Jalles, João |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Jalles, João |
dc.subject.por.fl_str_mv |
sovereign bonds fiscal policy non-conventional monetary policy time-varying coefficients model selection panel data |
topic |
sovereign bonds fiscal policy non-conventional monetary policy time-varying coefficients model selection panel data |
description |
We assess the determinants of sovereign bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sovereign bond yield spreads; ii) compute bivariate time-varying coefficient (TVC) models of each determinant on government bond spreads and analyse the temporal dynamics of resulting estimates. Our results show that the baseline determinants of sovereign bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. In recent years, additional relevant determinants became the QE measures implemented by the ECB in the aftermath of the economic and financial crisis. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis, particularly in the crisis period, 2011-2013. In addition, longer-term refinancing operations contributed to reduce yield spreads in most countries. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-12 2017-12-01T00:00:00Z 2018-09-28T10:17:42Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15995 |
url |
http://hdl.handle.net/10400.5/15995 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, António e João Jalles (2017). "Quantitative easing and sovereign yield spreads : Euro-Area time-varying evidence". Instituto Superior de Economia e Gestão – REM Working paper nº 020 - 2017 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
|
_version_ |
1799131104024723457 |