The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2019
Outros Autores: Jalles, João Tovar, Kazemi, Mina
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/17356
Resumo: We assess the impact of announcements corresponding to different fiscal and monetary policy measures on the 10-year sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing pooled and country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit procedure significantly affect the yield spreads. The EC releases of higher debt and better budget balance forecasts contribute to the rise and the decline of spreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP1) negatively affect sovereign yield spreads in our sample of EMU countries.
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spelling The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMUsovereign yieldsfiscal policymonetary policyevent analysispanel dataWe assess the impact of announcements corresponding to different fiscal and monetary policy measures on the 10-year sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing pooled and country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit procedure significantly affect the yield spreads. The EC releases of higher debt and better budget balance forecasts contribute to the rise and the decline of spreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP1) negatively affect sovereign yield spreads in our sample of EMU countries.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioJalles, João TovarKazemi, Mina2019-02-14T11:30:50Z2019-022019-02-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17356engAfonso, António, João Tovar Jalles e Mina Kazemi (2019). "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU". Instituto Superior de Economia e Gestão – REM Working paper nº 067 - 20192184-108Xinfo: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:RCAAP2023-03-06T14:47:02Zoai:www.repository.utl.pt:10400.5/17356Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:02:34.978874Repositório 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 The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
title The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
spellingShingle The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
Afonso, António
sovereign yields
fiscal policy
monetary policy
event analysis
panel data
title_short The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
title_full The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
title_fullStr The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
title_full_unstemmed The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
title_sort The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU
author Afonso, António
author_facet Afonso, António
Jalles, João Tovar
Kazemi, Mina
author_role author
author2 Jalles, João Tovar
Kazemi, Mina
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Jalles, João Tovar
Kazemi, Mina
dc.subject.por.fl_str_mv sovereign yields
fiscal policy
monetary policy
event analysis
panel data
topic sovereign yields
fiscal policy
monetary policy
event analysis
panel data
description We assess the impact of announcements corresponding to different fiscal and monetary policy measures on the 10-year sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing pooled and country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit procedure significantly affect the yield spreads. The EC releases of higher debt and better budget balance forecasts contribute to the rise and the decline of spreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP1) negatively affect sovereign yield spreads in our sample of EMU countries.
publishDate 2019
dc.date.none.fl_str_mv 2019-02-14T11:30:50Z
2019-02
2019-02-01T00:00:00Z
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/10400.5/17356
url http://hdl.handle.net/10400.5/17356
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Afonso, António, João Tovar Jalles e Mina Kazemi (2019). "The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU". Instituto Superior de Economia e Gestão – REM Working paper nº 067 - 2019
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
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