We assess the impact of announcements corresponding to different fiscal and monetary policy measures on 10-year sovereign bond yield spreads (relative to Germany) of 10 EMU countries during the period 01:1999-07:2016. Implementing country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit procedure significantly affect yield spreads. The EC releases of higher debt and better budget balance forecasts contribute to the rise and the decline of spreads, respectively. Moreover, we find that the announcements of the ECB’s key interest rates together with the longer-term refinancing operations (LTROs) and the first covered bond purchase programme (CBPP1) negatively affect sovereign yield spreads in our sample of EMU countries. There was also some capital market mispricing of the sovereign bond risk in the Euro area before the Global Financial Crisis, notably regarding government debt forecasts.

我们评估了在01：1999-07：2016期间，与不同的财政和货币政策措施相对应的公告对10个EMU国家的10年期主权债券收益率利差（相对于德国）的影响。通过实施国家固定效应OLS回归，我们发现欧盟委员会（EC）的过度赤字程序释放严重影响了收益率利差。欧共体释放的更高债务和更好的预算结余预测分别导致了利差的上升和下降。此外，我们发现，欧洲央行关键利率的宣布以及长期再融资业务（LTRO）和第一个有担保债券购买计划（CBPP1）的发布对我们的EMU国家样本中的主权收益率利差产生了负面影响。