• ISSN: 2010-023X
    • Frequency: Bimonthly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Executive Editor: Ms. Cherry L. Chen
    • Abstracting/ Indexing:  ProQuest, Crossref, Electronic Journals Library , EBSCO, and Ulrich's Periodicals Directory
    • E-mail: ijtef@ejournal.net
IJTEF 2018 Vol.9(3): 121-124 ISSN: 2010-023X
DOI: 10.18178/ijtef.2018.9.3.600

How Effective Has ECB’s Monetary Policy Been during Crisis? The Case of CDS Spreads and Bond Yields

Spyros I. Spyrou
Abstract—In this paper, the first Principal Component is extracted from weekly sovereign Eurozone CDS spreads and bond yields, and is then used in a regression with ECBs weekly holdings on three programs used during the EU crisis as explanatory variables. The monetary policy measures adopted by the ECB during the escalation of the EU financial crisis seem to have a statistically significant and negative effect on the CDS spreads and Bond Yields of the Eurozone countries. To the extent that the level of the CDS spreads and sovereign yields reflects market risks, default risk, and uncertainty, the significant and negative effect indicates that the measures adopted by the ECB were successful in reducing uncertainty in Eurozone markets.

Index Terms—CDS spreads, ECB monetary policy, principal components analysis.

Spyros Spyrou is with the Department of Accounting and Finance, Athens University of Economics and Business, Patision 76, 10434, Athens, Greece (e-mail: sspyrou@aueb.gr).

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Cite: Spyros I. Spyrou, "How Effective Has ECB’s Monetary Policy Been during Crisis? The Case of CDS Spreads and Bond Yields," International Journal of Trade, Economics and Finance vol.9, no.3, pp. 121-124, 2018.

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