In this paper, we investigate how the 5‐year Swedish municipal bond yield has been related to the corresponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from February 2015 to January 2018, we first conduct an event study to assess the short‐run effects of the Riksbank's bond‐purchase announcements. We then estimate bivariate vector autoregressive models to study the dynamic relationship between the yields. Results from the event study suggest that the accumulated short‐run effect of the Riksbank's announcements was to lower the government bond yield by approximately 40 to 50 basis points and municipal bond yields by 30 to 35 basis points. Our vector autoregressive analysis indicates—in line with the event study—that an unexpected decrease in the government bond yield initially increases the municipal bond‐yield spread. However, after approximately 4 weeks, the effect has been reversed and the municipal bond‐yield spread is lower than it was initially. By conducting this analysis, we contribute to the understanding of the transmission of unconventional monetary policy.

中文翻译：

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非常规货币政策时代的市政债券收益率关系

在本文中，我们研究了瑞典国家银行在债券购买方面实施非常规货币政策期间，瑞典5年期市政债券的收益率与政府债券的相应收益率之间的关系。我们使用瑞典的2015年2月至2018年1月的债券收益率每日数据，首先进行一项事件研究，以评估瑞典央行宣布的债券购买公告的短期影响。然后，我们估计双变量向量自回归模型以研究收益率之间的动态关系。事件研究的结果表明，瑞典央行公告的累积短期效应是将政府债券收益率降低约40至50个基点，将市政债券收益率降低30至35个基点。根据事件研究，我们的向量自回归分析表明，政府债券收益率的意外下降最初会增加市政债券收益率的利差。但是，大约4周后，这种影响被逆转了，市政债券收益率的差价比最初要低。通过进行这种分析，我们有助于理解非常规货币政策的传递。