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Eurozone bond market dynamics, ECB monetary policy and financial stress

 

Notice

Type:   Working paper
 
Titre:   Eurozone bond market dynamics, ECB monetary policy and financial stress
 
Auteur(s):   Blot, Christophe (1974-...) - Observatoire français des conjonctures économiques (Auteur)
Creel, Jérôme (1971-...) - Observatoire français des conjonctures économiques (Auteur)
Hubert, Paul (1983-...) - Observatoire français des conjonctures économiques (Auteur)
Labondance, Fabien - Observatoire français des conjonctures économiques (Auteur)
 
Date de publication:   2017-09
 
Éditeur:   Paris
 
Collection:   OFCE Working paper  :  18
 
Mots-clés:   [en] Asset purchase programmes, ECB, Sovereign yields, Unconventional monetary policies, CISS
 
JEL:   E58,  E52
 
Résumé:   [en] We investigate the role of both ECB’s asset purchases and market sentiment in the Eurozone sovereign debt crisis context. We explain the evolution of long-term interest rates in the Eurozone and in some Member States since the ECB started to purchase various securities for monetary policy purposes. We control for four categories of fundamentals: macroeconomic, international, financial and expectations. We show that unconventional monetary policies and country-specific market sentiment have significant negative and positive effects respectively. Our results suggest that ECB’s unconventional policies have been effective in mitigating the disruption in the channels of transmission across the different Eurozone countries.
 
URL:   https://www.ofce.sciences-po.fr/pdf/dtravail/WP2017-18.pdf
 
 

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Version de l'éditeur wp2017-18-eurozonebondmarketdynamics-cblot.pdf 0,71 MB