Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/96892 
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper No. 4731
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of the interventions on the targeted instruments. Bonds bought by the ECB see a much steeper drop in yields than those not bought. This is consistent with theories of “local supply effects” in segmented or illiquid bond markets.
Subjects: 
central bank
asset purchases
securities markets programme
Eurozone crisis
sovereign risk
market segmentation
JEL: 
E43
E58
F34
G12
Document Type: 
Working Paper
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