Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/154140 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
ECB Working Paper No. 1707
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This study evaluates the macroeconomic effects of Outright Monetary Transaction (OMT) announcements by the European Central Bank (ECB). Using high-frequency data, we find that OMT announcements decreased the Italian and Spanish 2-year government bond yields by about 2 percentage points, while leaving unchanged the bond yields of the same maturity in Germany and France. These results are used to calibrate a scenario in a multi-country model describing the macro-financial linkages in France, Germany, Italy, and Spain. The scenario analysis suggests that the reduction in bond yields due to OMT announcements is associated with a significant increase in real activity, credit, and prices in Italy and Spain with relatively muted spillovers in France and Germany.
Schlagwörter: 
Event study
multi-country vector autoregressive model
news
Outright Monetary Transactions
JEL: 
E47
E58
C54
ISBN: 
978-92-899-1115-3
Dokumentart: 
Working Paper

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