Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/275674 
Year of Publication: 
2023
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 21/2023
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and interviews on changes in government bond spreads. Second, we assess whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive to both the communication channel and the communicating ECB Executive Board member.
Subjects: 
Event study
central bank communication
ECB
PEPP
sovereign yields
JEL: 
E52
E58
G14
ISBN: 
978-3-95729-952-9
Document Type: 
Working Paper

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