Euro area sovereign yields and the power of QE

We assess the determinants of long-term sovereign yield spreads using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB (standard and non-standard) quantitative easing measures. Our findings indicate that the international risk, the bid-ask spread and real e...

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Bibliographic Details
Main Author: Afonso, António (author)
Other Authors: Kazemi, Mina (author)
Format: workingPaper
Language:eng
Published: 2017
Subjects:
Sovereign Bonds
Non-Conventional Monetary Policy
Panel Data
Online Access:http://hdl.handle.net/10400.5/13930
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/13930
Description
Summary:We assess the determinants of long-term sovereign yield spreads using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB (standard and non-standard) quantitative easing measures. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads. Moreover, quantitative easing, notably Longer-term Refinancing Operations (LTROs), Targeted LTROs and the Securities Market Program decreased the yield spreads.

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