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首页> 外文期刊>Journal of International Money and Finance >'Whatever it takes' to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects
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'Whatever it takes' to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects

机译：解决欧洲主权债务危机的“一切需要”是什么？债券定价制度的转变和货币政策的影响

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摘要

This paper investigates the role of unconventional monetary policy as a source of time variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework to determine shifts in the pricing regime characterising sovereign bond markets in the euro area over the period January 1999 to July 2016. Second, we estimate the impact of ECB policy interventions on the time-varying risk factor sensitivities of spreads. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright Monetary Transactions (OMT) programme in August 2012. This regime is characterised by a weakened link between spreads and fundamentals, but with higher spreads relative to the pre-crisis period and residual redenomination risk. We also find that unconventional monetary policy measures affect the pricing of sovereign risk not only directly, but also indirectly through changes in banking risk. Overall, the actions of the ECB have operated as catalysts for reversing the dynamics of the European sovereign debt crisis. (C) 2018 Elsevier Ltd. All rights reserved.
机译：本文研究了非常规货币政策在主权债券收益率利差与其基本决定因素之间的时间变化中所起的作用。我们使用两步经验方法。首先，我们采用时变参数面板建模框架来确定1999年1月至2016年7月期间欧元区主权债券市场的定价制度变化。其次，我们估计欧洲央行政策干预对时间的影响-价差的风险因素敏感性各不相同。我们的结果提供了在2012年8月宣布全面货币交易（OMT）计划之后新的债券定价制度的证据。该制度的特点是利差与基本面之间的联系减弱，但利差相对于危机前更高。期限和剩余面额风险。我们还发现，非常规的货币政策措施不仅直接影响主权风险的定价，而且还通过银行风险的变化间接影响其定价。总体而言，欧洲央行的行动已成为扭转欧洲主权债务危机动态的催化剂。 （C）2018 Elsevier Ltd.保留所有权利。

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