The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads
Autor(a) principal: | |
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Data de Publicação: | 2020 |
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/10400.5/25491 |
Resumo: | We assess the impact of announcements corresponding to different fiscal and monetary policy mea-sures on 10-year sovereign bond yield spreads (relative to Germany) of 10 EMU countries during theperiod 01:1999-07:2016. Implementing country-fixed effects OLS regressions, we find that the Euro-pean Commission’s (EC) releases of the excessive deficit procedure significantly affect yield spreads. TheEC releases of higher debt and better budget balance forecasts contribute to the rise and the decline ofspreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates togetherwith 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. There was also somecapital market mispricing of the sovereign bond risk in the Euro area before the Global Financial Crisis,notably regarding government debt forecasts. |
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The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreadsSovereign YieldsFiscal PolicyMonetary PolicyEvent AnalysisPanel DataWe assess the impact of announcements corresponding to different fiscal and monetary policy mea-sures on 10-year sovereign bond yield spreads (relative to Germany) of 10 EMU countries during theperiod 01:1999-07:2016. Implementing country-fixed effects OLS regressions, we find that the Euro-pean Commission’s (EC) releases of the excessive deficit procedure significantly affect yield spreads. TheEC releases of higher debt and better budget balance forecasts contribute to the rise and the decline ofspreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates togetherwith 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. There was also somecapital market mispricing of the sovereign bond risk in the Euro area before the Global Financial Crisis,notably regarding government debt forecasts.ElsevierRepositório da Universidade de LisboaAfonso, AntónioJallesa, João TovarKazemi, Mina2022-09-14T08:35:41Z20202020-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25491engAfonso, Antonio; João Tovar Jalles and Mina Kazemi .(2020)."The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads". International Review of Law and Economics, Vol. 63: 105924.0144-818810.1016/j.irle.2020.105924info: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:RCAAP2023-03-06T14:55:03Zoai:www.repository.utl.pt:10400.5/25491Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:21.161698Repositório 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 |
title |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads |
spellingShingle |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads 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 |
title_full |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads |
title_fullStr |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads |
title_full_unstemmed |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads |
title_sort |
The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads |
author |
Afonso, António |
author_facet |
Afonso, António Jallesa, João Tovar Kazemi, Mina |
author_role |
author |
author2 |
Jallesa, 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 Jallesa, 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 mea-sures on 10-year sovereign bond yield spreads (relative to Germany) of 10 EMU countries during theperiod 01:1999-07:2016. Implementing country-fixed effects OLS regressions, we find that the Euro-pean Commission’s (EC) releases of the excessive deficit procedure significantly affect yield spreads. TheEC releases of higher debt and better budget balance forecasts contribute to the rise and the decline ofspreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates togetherwith 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. There was also somecapital market mispricing of the sovereign bond risk in the Euro area before the Global Financial Crisis,notably regarding government debt forecasts. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020 2020-01-01T00:00:00Z 2022-09-14T08:35:41Z |
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/10400.5/25491 |
url |
http://hdl.handle.net/10400.5/25491 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, Antonio; João Tovar Jalles and Mina Kazemi .(2020)."The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads". International Review of Law and Economics, Vol. 63: 105924. 0144-8188 10.1016/j.irle.2020.105924 |
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 |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131187800702976 |