Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area

Loading...
Thumbnail Image

Date

2022-08

Journal Title

Journal ISSN

Volume Title

Publisher

John Wiley and Sons Inc

Access Rights

info:eu-repo/semantics/openAccess

Abstract

Abstract: This paper investigates the impact of the European Central Bank's unconventional monetary policies (UMP) between 2008 and 2019 on European government bond yields. It adopts a novel econometric approach that combines a data-rich factor analysis and Vector autoregression (VAR) with heteroskedastic-based identification. The results identify a significant and substantial impact for all countries and maturities, but stronger and persistent impact for the periphery. When we decompose the impact into separate components, we find that UMP decreases the market component for all countries. It decreases the risk-mutualization component for the periphery permanently at the cost of a small increase for the core countries, which provides evidence for risk-mutualization in the EMU. © 2021 The Ohio State University.

Description

Keywords

cross-country difference, ECB, risk-mutualization

Journal or Series

Journal of Money, Credit and Banking

WoS Q Value

Q1

Scopus Q Value

Volume

Issue

Citation