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Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 17-080/IV
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend this methodology and apply it to government bond prices. The results show that the QE policy substantially inflated government bond prices in Euro Area countries to such an extent that bond prices are no longer in line with the underlying fundamental value. We argue that careful monitoring is required when the QE policy is eventually reversed. The test procedure outlined in this paper provides a monitoring tool to do so.
Schlagwörter: 
government bond yields
asset price bubbles
monetary policy
JEL: 
G12
G15
E52
Dokumentart: 
Working Paper
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