G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17533
DP17533 Eurozone Government Bond Spreads: A Tale of Different ECB Policy Regimes
Sylvester Eijffinger; Mary Pieterse-Bloem
发表日期2022-09-07
出版年2022
语种英语
摘要We aim to determine Eurozone sovereign bond spreads and the ECB’s influence through a generalised model. In a multidimensional structure we regress an extensive set of variables for different factors on spreads, and empirically identify the best-fit through a general-to-specific process. We cannot identify a satisfactory specification with macro fundamental factors. Different regimes in the spreads’ structure explains this. Spreads are after 2012/2013 well explained by market risk-based factors, and our specification is robust for earlier periods. When we add EMU-specific factors, it is shown that Target2 balances reduce spread as they increase convertibility risk costs until 2012/2013, and that the ECB’s asset purchases subsequently reduce spreads, especially in the periphery. The break between these two periods coincides with an alteration of policy over two sets of Presidencies: Duisenberg – Trichet in the first period and Draghi-Lagarde in the second. Either set has interpreted and implemented the mandate of the central bank in a very different way. While under Duisenberg-Trichet the ECB has only acted in the Eurozone money market, under Draghi-Lagarde the central bank has increasingly been involved in the capital market.
主题Monetary Economics and Fluctuations
关键词Conventional and unconventional monetary policy Economic and monetary union
URLhttps://cepr.org/publications/dp17533
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/546618
推荐引用方式
GB/T 7714
Sylvester Eijffinger,Mary Pieterse-Bloem. DP17533 Eurozone Government Bond Spreads: A Tale of Different ECB Policy Regimes. 2022.
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