Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/174594
Authors: 
Trebesch, Christoph
Zettelmeyer, Jeromin
Year of Publication: 
2018
Series/Report no.: 
Kiel Working Paper 2101
Abstract: 
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spillovers to close substitute bonds, CDS markets, or corporate bonds. Hence, our findings attest to the power of central bank intervention in times of crisis, but also suggest that in highly distressed situations, this power may not extend beyond those assets actually purchased.
Subjects: 
Central Bank Asset Purchases
Securities Markets Programme
Eurozone Crisis
Sovereign Risk
Market Segmentation
JEL: 
E43
E58
F34
G12
Document Type: 
Working Paper

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