Leonardo Iania

finance seminar

Leonardo Iania

Université Catholique de Louvain
The response of euro area sovereign spreads to the ECB unconventional monetary policies
Co-écrit avec
Hans Dewachter, Jean-Charles Wijnandts

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Mardi 6 juin 2017| 14:30

Eric Girardin : eric.girardin[at]univ-amu.fr
Christelle Lecourt : christelle.lecourt[at]univ-amu.fr
Jean-François Carpantier : jean-francois.carpantier[at]univ-amu.fr


We analyse variations in sovereign bond yields and spreads following unconventional monetary policy announcements by the European Central Bank. Using a two-country, arbitrage-free, shadow-rate dynamic term structure model (SR-DTSM), we decompose countries’ yields into expectation and risk premium components. By means of an event study analysis, we show that the ECB’s announcements reduced both the average expected instantaneous spread and risk repricing components of Italian and Spanish spreads. For countries such as Belgium and France, the ECB announcements impacted primarily the risk repricing component of the spread.

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