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000079676 0247_ $$2doi$$a10.1016/j.jimonfin.2018.04.005
000079676 0248_ $$2sideral$$a106384
000079676 037__ $$aART-2018-106384
000079676 041__ $$aeng
000079676 100__ $$aAfonso, António
000079676 245__ $$a“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects
000079676 260__ $$c2018
000079676 5060_ $$aAccess copy available to the general public$$fUnrestricted
000079676 5203_ $$aThis 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.
000079676 536__ $$9info:eu-repo/grantAgreement/ES/MICYT/ECO2011-30260-C03-02
000079676 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
000079676 590__ $$a1.78$$b2018
000079676 591__ $$aBUSINESS, FINANCE$$b41 / 103 = 0.398$$c2018$$dQ2$$eT2
000079676 592__ $$a1.37$$b2018
000079676 593__ $$aFinance$$c2018$$dQ1
000079676 593__ $$aEconomics and Econometrics$$c2018$$dQ1
000079676 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/acceptedVersion
000079676 700__ $$aArghyrou, Michael G.
000079676 700__ $$0(orcid)0000-0001-6609-4247$$aGadea, María Dolores$$uUniversidad de Zaragoza
000079676 700__ $$aKontonikas, Alexandros
000079676 7102_ $$14008$$2225$$aUniversidad de Zaragoza$$bDpto. Estruc.Hª Econ.y Eco.Pb.$$cÁrea Economía Aplicada
000079676 773__ $$g86 (2018), 1-30 [82 p.]$$pJ. int. money financ.$$tJournal of International Money and Finance$$x0261-5606
000079676 8564_ $$s1431575$$uhttps://zaguan.unizar.es/record/79676/files/texto_completo.pdf$$yPostprint
000079676 8564_ $$s85542$$uhttps://zaguan.unizar.es/record/79676/files/texto_completo.jpg?subformat=icon$$xicon$$yPostprint
000079676 909CO $$ooai:zaguan.unizar.es:79676$$particulos$$pdriver
000079676 951__ $$a2020-01-08-09:29:07
000079676 980__ $$aARTICLE