| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10025 |
| DP10025 The Financial and Macroeconomic Effects of OMT Announcements | |
| Domenico Giannone; Michele Lenza; Carlo Altavilla | |
| 发表日期 | 2014-06-15 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macrofinancial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany. |
| 主题 | International Macroeconomics |
| 关键词 | Event study Multi-country vector autoregressive model News Outright monetary transactions |
| URL | https://cepr.org/publications/dp10025 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538857 |
| 推荐引用方式 GB/T 7714 | Domenico Giannone,Michele Lenza,Carlo Altavilla. DP10025 The Financial and Macroeconomic Effects of OMT Announcements. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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