| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23985 |
| 来源ID | Working Paper 23985 |
| ECB Policies Involving Government Bond Purchases: Impact and Channels | |
| Arvind Krishnamurthy; Stefan Nagel; Annette Vissing-Jorgensen | |
| 发表日期 | 2017-11-06 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds, dollar-denominated sovereign bonds, corporate bonds, and corporate CDS rates to understand the channels through which policies reduced sovereign bond yields. On average across Italy, Spain and Portugal, considering both the Securities Markets Programme and the Outright Monetary Transactions, yields fall considerably. Decomposing this fall, default risk accounts for 37% of the reduction in yields, reduced redenomination risk for 13%, and reduced market segmentation effects for 50%. Stock price increases in distressed and core countries suggest that these policies also had beneficial macro-spillovers. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Macroeconomics ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23985 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581660 |
| 推荐引用方式 GB/T 7714 | Arvind Krishnamurthy,Stefan Nagel,Annette Vissing-Jorgensen. ECB Policies Involving Government Bond Purchases: Impact and Channels. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23985.pdf（1931KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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