Finance a úvěr-Czech Journal of Economics and Finance

Nov 8, 2018

Articles in journals

Afonso, A, Kazemi, M.

68(2)

100-119

We assess the determinants of long-term sovereign yield spreads, vis-à-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries.

C23, E52, G10

sovereign bonds, non-conventional monetary policy, euro area, panel data