Gateway to Think Tanks
来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP17533 |
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 |
URL | https://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. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。