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ECB monetary policy surprises and Euro area sovereign yield spreads

Abdelkader Derbali & Tarek Chebbi

International Journal of Management and Network Economics2018https://doi.org/10.1504/ijmne.2018.095193article
ABDC C
Weight
0.34

What the paper says

The importance of ECB monetary policy surprises in explaining movements in Euro area sovereign yield spreads is explored using daily data for ten countries for 2011-2015. The unanticipated component of the monetary policy is extracted by using changes in the three-month Euribor futures rate immediately after the ECB meetings. Our results show that monetary policy surprises from the ECB, when significant, exert a strong influence on yield spread returns and volatilities. The effects of ECB news announcement surprises on the debt markets differ substantially across PIIGS and non-PIIGS countries. It is important to note that the persistence of volatility is clear across all samples and it shown by the significance and the positive sign of associated coefficients.

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https://doi.org/https://doi.org/10.1504/ijmne.2018.095193

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@article{abdelkader2018,
  title        = {{ECB monetary policy surprises and Euro area sovereign yield spreads}},
  author       = {Abdelkader Derbali & Tarek Chebbi},
  journal      = {International Journal of Management and Network Economics},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1504/ijmne.2018.095193},
}

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ECB monetary policy surprises and Euro area sovereign yield spreads

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Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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