Table 3.
Event study estimates — EU fiscal 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 | ||||||
| 23-Apr-20 | −22.62*** | −5.23*** | −13.55*** | −3.43*** | −0.59** | −1.65*** |
| Recovery package | (1.80) | (1.55) | (1.23) | (0.31) | (0.28) | (0.36) |
| 18-May-20 | −23.42*** | 2.38*** | −11.70*** | −4.76*** | −0.17 | −4.91*** |
| German-French proposal | (6.07) | (0.86) | (0.46) | (0.09) | (0.13) | (0.79) |
| 21-Jul-20 | −7.80*** | −2.03*** | −2.50*** | −0.27** | 0.16*** | −2.91*** |
| EU recovery fund | (1.27) | (0.12) | (0.41) | (0.11) | (0.03) | (0.12) |
| Spain | ||||||
| 23-Apr-20 | −14.11*** | −5.23*** | −7.41*** | −1.22*** | −0.19*** | −0.66 |
| Recovery package | (1.48) | (1.55) | (0.54) | (0.10) | (0.02) | (0.49) |
| 18-May-20 | −9.40*** | 2.38*** | −8.42*** | −2.91*** | −0.60*** | 0.77*** |
| German-French proposal | (1.09) | (0.86) | (0.52) | (0.25) | (0.05) | (0.14) |
| 21-Jul-20 | −1.64*** | −2.03*** | −2.70*** | −0.77*** | −0.17 | 2.59*** |
| EU recovery fund | (0.28) | (0.12) | (0.15) | (0.19) | (0.23) | (0.18) |
| France | ||||||
| 23-Apr-20 | −10.81*** | −5.23*** | −1.66*** | −1.03*** | −0.83*** | −0.85 |
| Recovery package | (0.67) | (1.55) | (0.63) | (0.14) | (0.22) | (0.61) |
| 18-May-20 | 2.11 | 2.38*** | −1.65** | −0.54*** | −0.54*** | 1.25*** |
| German-French proposal | (1.90) | (0.86) | (0.68) | (0.16) | (0.11) | (0.34) |
| 21-Jul-20 | −2.90* | −2.03*** | −0.51** | −0.38** | −0.18 | 0.32 |
| EU recovery fund | (1.51) | (0.12) | (0.24) | (0.17) | (0.26) | (0.54) |
| Germany | ||||||
| 23-Apr-20 | −5.31*** | −5.23*** | 0.09*** | −0.10*** | −0.52*** | 1.27*** |
| Recovery package | (1.76) | (1.55) | (0.03) | (0.02) | (0.09) | (0.18) |
| 18-May-20 | 6.96*** | 2.38*** | −0.10 | −0.03** | −0.34*** | 2.54*** |
| German-French proposal | (1.33) | (0.86) | (0.14) | (0.01) | (0.09) | (0.25) |
| 21-Jul-20 | −2.90** | −2.03*** | −0.27*** | −0.29*** | −0.28*** | 0.34 |
| EU recovery fund | (1.36) | (0.12) | (0.01) | (0.02) | (0.04) | (0.25) |
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.