Sovereign risk, European crisis resolution policies and bond yields
Kilponen, Juha; Laakkonen, Helinä; Vilmunen, Jouko (15.06.2012)
JulkaisusarjaBank of Finland Research Discussion Papers
JulkaisijaBank of Finland
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-20140807600
We study the effects of the ECB monetary policy and the European crises resolution policies on the 10 year sovereign bond yields of seven European countries. We find that some of the decisions have had significant impact on sovereign bond yields and have succeeded in reducing stress in the financial markets. However, the impact of the same policy decision might have been positive for some countries while negative for others, suggesting that contagion effects may be important. The economically most significant effects on the bond yields have been due to the announcement of ECB's Securities Market Programme.
Published in International Journal of Central Banking, Volume 11, Number 2, March 2015: 285-323 ; http://www.ijcb.org/journal/ijcb15q2a8.htm