G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12635
DP12635 ECB interventions in distressed sovereign debt markets: The case of Greek bonds
Jeromin Zettelmeyer; Christoph Trebesch
发表日期2018-01-22
出版年2018
语种英语
摘要We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable “twist” of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spillovers to close substitute bonds, CDS markets, or corporate bonds. Hence, our findings attest to the power of central bank intervention in times of crisis, but also suggest that in highly distressed situations, this power may not extend beyond those assets actually purchased.
主题International Macroeconomics and Finance
关键词Central bank asset purchases Securities markets programme Eurozone crisis Sovereign risk Market segmentation
URLhttps://cepr.org/publications/dp12635
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/541447
推荐引用方式
GB/T 7714
Jeromin Zettelmeyer,Christoph Trebesch. DP12635 ECB interventions in distressed sovereign debt markets: The case of Greek bonds. 2018.
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