Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/80351
Authors: 
Falagiarda, Matteo
Reitz, Stefan
Year of Publication: 
2013
Series/Report no.: 
Kiel Working Paper 1866
Abstract: 
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB program. The empirical results are derived from both an event-study analysis and a GARCH framework, which uses Italian long-term bond futures to disentangle expected from unexpected policy actions. We find that the ECB announcements about unconventional monetary policies substantially reduced Italian long-term government bond yield spread relative to German counterparts. Particularly, among the different types of measures, news about the Securities Markets Programme and the Outright Monetary Transactions are found to be effective in affecting the perceived sovereign risk of Italy.
Subjects: 
central bank communications
unconventional monetary policy
European sovereign debt crisis
event-study
GARCH models
JEL: 
E43
E52
E58
G01
G12
Document Type: 
Working Paper

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