scholarly journals Daily changes of the sovereign bond yields of southern euro area countries during the recent crisis / Dzienne zmiany rentowności obligacji skarbowych południowych krajów strefy euro podczas ostatniego kryzysu zadłużeniowego

2016 ◽  
Author(s):  
Wojciech Grabowski ◽  
Ewa Stawasz
Keyword(s):  
Euro Area ◽  
Bond Yields ◽  
Sovereign Bond ◽  
Daily Changes

scholarly journals The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic

2021 ◽  
Author(s):  
George Hondroyiannis ◽  
Dimitrios Papaoikonomou
Keyword(s):  
Euro Area ◽  
Credit Ratings ◽  
Evidence Based ◽  
Time Varying ◽  
Safe Haven ◽  
Sharp Decline ◽  
Bond Yields ◽  
Perceptions Of Risk ◽  
Sovereign Bond ◽  
Sovereign Bonds

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09 to 2020m12. During 2020 APP contributed to an average decline in yields estimated in the range of 58-76 bps. In December 2020 the effect per EUR trillion ranged between 34 bps in Germany and 159 bps in Greece. Stronger effects generally display diminishing returns. Our findings suggest that a sharp decline in the size of the APP in the aftermath of the COVID-19 crisis could lead to very sharp increases in bond yields, particularly in peripheral countries. The analysis additionally reveals a differential response to global risks between core and peripheral countries, with the former enjoying safe-haven benefits. Markets’ perceptions of risk are found to be significantly affected by credit ratings, which is in line with recent evidence based on constant parameter methods.

SNB move will accentuate bond-equity divergence

2015 ◽  
Keyword(s):  
Euro Area ◽  
Yield Curve ◽  
Equity Markets ◽  
Bond Markets ◽  
Quantitative Easing ◽  
Bond Yields ◽  
Content Type ◽  
Sovereign Bond ◽  
Advanced Economies ◽  
The Us

Significance The move mainly aims to pre-empt the widely anticipated launch of a sovereign quantitative easing (QE) programme by the ECB on January 22. However, it will accentuate divergences between bond and equity markets. Sovereign bond yields for most advanced economies are falling to new lows and are increasingly negative at the shorter end of the yield curve, because of deflation fears and lacklustre growth outlooks. Yet equity markets are hovering near record highs, buoyed by the US recovery and expectations of further monetary stimulus in the euro-area. Impacts Bond markets will be driven by deflation fears, while equity markets, especially US stocks, will be buoyed by Goldilocks-type conditions. Market expectations that the ECB will launch a sovereign QE programme will make bond yields fall further. Bond yields will be suppressed by investor scepticism about the ECB's ability to reflate the euro-area economy.

Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads

2011 ◽  
Author(s):  
Vladimir Borgy ◽  
Thomas Laubach ◽  
Jean-Stéphane Mésonnier ◽  
Jean-Paul Renne
Keyword(s):  
Euro Area ◽  
Default Risk ◽  
Fiscal Sustainability ◽  
Sovereign Bond ◽  
Bond Spreads

scholarly journals The Impact of the Introduction of Uniform European Collective Action Clauses on European Government Bonds as a Regulatory Result of the European Sovereign Debt Crisis

2020 ◽  
Vol 14 (1) ◽  
pp. 1
Author(s):  
Nicoletta Layher ◽  
Eyden Samunderu
Keyword(s):  
European Union ◽  
Sovereign Debt ◽  
Debt Crisis ◽  
Sovereign Debt Crisis ◽  
The European Union ◽  
Bond Yields ◽  
Member States ◽  
Sovereign Bond ◽  
European Sovereign Debt Crisis ◽  
Collective Action Clauses

This paper conducts an empirical study on the inclusion of uniform European Collective Action Clauses (CACs) in sovereign bond contracts issued from member states of the European Union, introduced as a regulatory result of the European sovereign debt crisis. The study focuses on the reaction of sovereign bond yields from European Union member states with the inclusion of the new regulation in the European Union. A two-stage least squares regression analysis is adopted in order to determine the extent of impact effects of CACs on member states sovereign bond yields. Evidence is found that CACs in the European Union are priced on financial markets and that sovereign bond yields do respond to the inclusion of uniform CACs in the European Union.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

Real Money Investors and Sovereign Bond Yields

2013 ◽  
Author(s):  
Laura Jaramillo ◽  
Y. Sophia Zhang
Keyword(s):  
Bond Yields ◽  
Real Money ◽  
Sovereign Bond

On the design of sovereign bond-backed securities

2021 ◽  
pp. 2150033
Author(s):  
Emilio Barucci ◽  
Damiano Brigo ◽  
Marco Francischello ◽  
Daniele Marazzina
Keyword(s):  
At Risk ◽  
Euro Area ◽  
Recovery Rate ◽  
Value At Risk ◽  
Dependence Structure ◽  
Loss Distribution ◽  
Government Bonds ◽  
Sovereign Bond ◽  
Yield Rate ◽  
Correlation Level

In this paper, we analyze Sovereign Bond-Backed Securities in the Euro area, concentrating our attention on the return of the different tranches and on their riskiness. We show that as the correlation level among States increases, the yield rate of senior tranches increases while the yield rate of junior tranches decreases. A similar effect is observed when introducing a block dependence structure with high correlation among States belonging to the same block. Introducing a nonzero recovery rate, as opposed to a null recovery rate, decreases the yield rate of senior tranches and increases the yield rate of junior tranches. We compute the loss distribution and the Value at Risk (VaR) associated with the market risk of retaining the different tranches of the bond. We also analyze the possibility of reaching a safe asset through pooling tranches of government bonds of different States. In summary, we show that the issue in reaching a comprehensive and safe offering through the securitization of government bonds is not the safety of senior tranches but the risk of the junior ones.

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