The effects of macroeconomic, fiscal and monetary policy announcements on sovereign bond spreads : an event Study from the EMU

We assess the impact of announcements corresponding to different fiscal and monetary policy measures on the 10-year sovereign bond yield spreads (relative to Germany) of the 10 EMU countries during the period 01:1999 - 07:2016. Implementing pooled and country-fixed effects OLS regressions, we find t...

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Bibliographic Details
Main Author: Afonso, António (author)
Other Authors: Jalles, João Tovar (author), Kazemi, Mina (author)
Format: workingPaper
Language:eng
Published: 2019
Subjects:
sovereign yields
fiscal policy
monetary policy
event analysis
panel data
Online Access:http://hdl.handle.net/10400.5/17356
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/17356

Internet

http://hdl.handle.net/10400.5/17356

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