79676 20200108100343.0 doi 10.1016/j.jimonfin.2018.04.005 sideral 106384 ART-2018-106384 eng Afonso, António “Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects 2018 Access copy available to the general public Unrestricted 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. info:eu-repo/grantAgreement/ES/MICYT/ECO2011-30260-C03-02 info:eu-repo/semantics/openAccess by-nc-nd http://creativecommons.org/licenses/by-nc-nd/3.0/es/ 1.78 2018 BUSINESS, FINANCE 41 / 103 = 0.398 2018 Q2 T2 1.37 2018 Finance 2018 Q1 Economics and Econometrics 2018 Q1 info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion Arghyrou, Michael G. (orcid)0000-0001-6609-4247 Gadea, María Dolores Universidad de Zaragoza Kontonikas, Alexandros 4008 225 Universidad de Zaragoza Dpto. Estruc.Hª Econ.y Eco.Pb. Área Economía Aplicada 86 (2018), 1-30 [82 p.] J. int. money financ. Journal of International Money and Finance 0261-5606 1431575 http://zaguan.unizar.es/record/79676/files/texto_completo.pdf Postprint 85542 http://zaguan.unizar.es/record/79676/files/texto_completo.jpg?subformat=icon icon Postprint oai:zaguan.unizar.es:79676 articulos driver 2020-01-08-09:29:07 ARTICLE