"Whatever it takes" to resolve the European sovereign debt crisis?: bond pricing regime switches and monetary policy effects

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Bibliographic Details
Authors and Corporations:	Afonso, António (Author), Arghyrou, Michael Georgiou (Author), Gadea, María Dolores (Author), Kontonikas, Alexandros (Author)
Other Authors:	Arghyrou, Michael Georgiou 1972- [Author] • Gadea, María Dolores [Author] • Kontonikas, Alexandros [Author]
Type of Resource:	E-Book
Language:	English
published:	Munich CESifo, Center for Economic Studies & Ifo Institute October 2017
Series:	CESifo GmbH: CESifo working papers ; no. 6691
Subjects:	euro area spreads crisis time-varying relationship unconventional monetary policy Arbeitspapier Graue Literatur
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen

Description
Summary:	This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright Monetary Transactions (OMT) programme in August 2012. This regime is characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual redenomination risk. We also find that unconventional monetary policy measures affect the pricing of sovereign risk not only directly, but also indirectly through changes in banking risk.
Physical Description:	1 Online-Ressource (circa 40 Seiten); Illustrationen