The impact of the european central bank monetary policy on government bonds after the financial crisis of 2008

• Autor(a) principal: Peiyi , Xu
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/14612
• topic: Finanças; Crise financeira--2008; Dívida pública; Estudo de eventos; Política monetária; Banco central; União Europeia; European Central Bank; Event study; Government bond yields; Financial crisis; União Europeia. BCE Banco Central Europeu; Títulos de Dívida Pública

I investigate the effects of the European Central Bank monetary policy over the European government bonds market. To obtain the instantaneous reactions of government bonds, I use event studies to evaluate the impact of changes on monetary policy – the events – over the cumulative average abnormal return of bond yields. I conclude that the European Central Bank monetary policy did have significant effects on Euro-zone government bonds and other European countries. Among eight countries, the German 5-year government bonds were the most responsive to the events. On the other hand, the United Kingdom, which does not belong to the Euro-zone, was the least responsive. I also find that the event with the strongest impact on the bond markets is the announcement of 4th September 2014. Most of bond yields show significant reactions on the day after the announcement date, but the 5-year government bonds is affected much more than the 10-year government bonds.