Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/261833 
Year of Publication: 
2022
Series/Report no.: 
Economic Memo No. 7
Publisher: 
Danmarks Nationalbank, Copenhagen
Abstract: 
This economic memo investigates the drivers of the Danish-German 10-year yield spread, which has widened 25 basis points since January 2020. The widening is found to be driven mainly by larger collateral scarcity of German sovereign bonds due to the ECB's significant bond purchases and a substantial increase in duration on callable Danish mortgage bonds.
Subjects: 
Monetary policy
Government bond
Yield spreads
Duration
Financial markets
Document Type: 
Research Report

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