Table 2.
Event study estimates — monetary policy announcements.
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
| 5Y bond | Short rate & | Default risk | Redenomination | Liquidity risk | Segmentation | |
| yield | term premium | premium | risk premium | premium | premium | |
| Italy | ||||||
| 22-Jan-15 | −8.45* | −5.53*** | −8.63*** | −0.98** | 0.18*** | 3.56*** |
| PSPP | (4.85) | (0.91) | (0.83) | (0.43) | (0.05) | (0.68) |
| 18-Mar-20 | −77.59** | 13.29*** | −34.64*** | −14.21*** | 2.51*** | −16.47*** |
| PEPP | (36.60) | (5.10) | (12.92) | (5.07) | (0.11) | (4.16) |
| 5-May-20 | 22.39*** | 2.68 | 9.62*** | 2.91*** | −0.61* | 2.88*** |
| German court | (0.42) | (1.90) | (1.99) | (0.90) | (0.34) | (0.26) |
| 4-Jun-20 | −17.36*** | 3.38*** | −18.31*** | −6.25*** | −0.27** | 2.55*** |
| PEPP exp. | (5.85) | (0.37) | (0.69) | (0.20) | (0.11) | (0.86) |
| Spain | ||||||
| 22-Jan-15 | −10.35*** | −5.53*** | −5.02*** | −1.32*** | −0.01 | 1.20 |
| PSPP | (3.66) | (0.91) | (0.10) | (0.06) | (0.19) | (1.10) |
| 18-Mar-20 | −10.60 | 13.29*** | −3.60 | −5.35 | 0.49** | −9.51*** |
| PEPP | (19.27) | (5.10) | (10.01) | (3.52) | (0.24) | (1.46) |
| 5-May-20 | 8.47*** | 2.68 | 2.11 | 0.64 | −0.69 | 1.02 |
| German court | (0.54) | (1.90) | (1.46) | (0.80) | (0.50) | (0.64) |
| 4-Jun-20 | −5.45*** | 3.38*** | −5.19*** | −3.27*** | −0.62*** | 1.24*** |
| PEPP exp. | (1.67) | (0.37) | (0.12) | (0.05) | (0.01) | (0.28) |
| France | ||||||
| 22-Jan-15 | −6.40*** | −5.53*** | 0.05 | 0.30*** | 0.04 | −1.37*** |
| PSPP | (0.57) | (0.91) | (0.26) | (0.09) | (0.17) | (0.40) |
| 18-Mar-20 | 9.52 | 13.29*** | −2.90** | −1.32*** | 1.18*** | −2.36*** |
| PEPP | (5.89) | (5.10) | (1.44) | (0.23) | (0.31) | (0.68) |
| 5-May-20 | 5.41 | 2.68 | −0.16 | −0.01 | −0.53 | 1.85** |
| German court | (4.66) | (1.90) | (0.10) | (0.20) | (0.36) | (0.84) |
| 4-Jun-20 | −0.99 | 3.38*** | −2.32*** | −0.89** | 0.08 | −0.17 |
| PEPP exp. | (1.91) | (0.37) | (0.38) | (0.38) | (0.40) | (0.40) |
| Germany | ||||||
| 22-Jan-15 | −6.01*** | −5.53*** | 0.15 | 0.19* | −0.00 | −0.28 |
| PSPP | (0.57) | (0.91) | (0.18) | (0.10) | (0.17) | (0.26) |
| 18-Mar-20 | 24.18*** | 13.29*** | 0.29 | 0.94*** | 2.01*** | 2.49*** |
| PEPP | (3.02) | (5.10) | (0.56) | (0.10) | (0.36) | (0.38) |
| 5-May-20 | 3.25 | 2.68 | −0.07 | −0.22 | −0.54** | 0.63 |
| German court | (3.83) | (1.90) | (0.08) | (0.16) | (0.23) | (0.53) |
| 4-Jun-20 | 3.90*** | 3.38*** | −1.48*** | −0.12 | −0.18* | 1.29*** |
| PEPP exp. | (0.77) | (0.37) | (0.33) | (0.15) | (0.09) | (0.11) |
Impact estimates from the event study regression (4). The event dates are given in Section 4.4.1 (see also Fig. 1). We consider two-day event windows. P-values are based on Newey and West (1987) HAC standard errors with a one lag bandwidth.