Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/173765 
Year of Publication: 
2016
Series/Report no.: 
NBB Working Paper No. 309
Publisher: 
National Bank of Belgium, Brussels
Abstract: 
We analyse variations in sovereign bond yields and spreads follow- ing 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 re- duced 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.
Document Type: 
Working Paper

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