Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/241069
Year of Publication: 
2021
Series/Report no.: 
MNB Occasional Papers No. 140
Publisher: 
Magyar Nemzeti Bank, Budapest
Abstract: 
For a panel of six Central and Eastern European countries outside the eurozone (Bulgaria, Croatia, Czechia, Hungary, Poland and Romania) we estimate the spillover effects of the European Central Bank's Expanded Asset Purchase Program (APP) on exchange rates, equity prices, government bond yields of various maturities, and CDS spreads. We find that the most pronounced spillovers induced sovereign bond yields to drop by around 1-6 basis points in a two-day time window in response to the Public Sector Purchase Program (PSPP) announcements.
Subjects: 
ordinary least squares estimation
panel data
unconventional monetary policy
JEL: 
E51
E32
E44
F45
F47
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.