Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/243004
Authors: 
Akovalı, Umut
Yılmaz, Kamil
Year of Publication: 
2021
Series/Report no.: 
Working Paper No. 2101
Abstract: 
Since the global financial crisis, major central banks gradually switched to unconventional monetary policies (UMPs) as part of their efforts to directly influence the long-term interest rates. This study analyzes the impact of conventional/unconventional monetary policies on sovereign bond return spillovers across countries and maturities since February 2007. Following the Taper Tantrum of mid-2013 and the ECB's policy convergence to other major central banks in 2015, the long-term return connectedness across countries increased, overtaking the short-term connectedness and lowering the dispersion of connectedness measures across maturities. Over the same period, net connectedness from short- to long-term maturities weakens, while net connectedness from medium- to long-term maturities stays strong. Finally, panel regression results show that UMPs in the form of higher central bank asset ratios led to higher pairwise long-term return connectedness even when the control variables such as trade and portfolio investment flows and the distance between pairs of countries are included in regression analysis.
Subjects: 
Unconventional monetary policy
quantitative easing
yield curve
vector autoregression
variance decomposition
elastic net
JEL: 
F34
G15
C32
G23
Document Type: 
Working Paper

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