We examine the impact of signals regarding the Eurozone’s bail-out commitment on government bond spreads in the Eurozone’s periphery, analysing the effect of positive, negative and mixed statements and decisions by the EU, the ECB and Germany. We construct a dataset of relevant events, and estimate their effects using distributed lag models, providing a number of robustness checks. Our main argument is that investors react to statements from credible actors, but largely ignore statements from less-credible actors, awaiting actual decisions. Accordingly, positive statements from the ECB have clear effects, while those from Germany and the EU do not. Furthermore, ECB decisions appear to be anticipated and thus have no short-term effects, while we find clear effects of positive decisions by Germany and the EU.
Σχετικές Αναρτήσεις
- Alcidi, Cinzia, Gros, Daniel, (2015), “The Greek elections and the third bailout programme: Why it could work this time round”, Ceps publications, 21 Σεπτεμβρίου
- Rieth, Malte, Fratzscher, Marcel, (2015), “Bank bailouts, monetary policy, and credit default risks in the Eurozone”, Voxeu, 6 Σεπτεμβρίου