We study the effects of the announcement of the ECB's Pandemic Emergency Purchase Programme (PEPP) on ten-year government bond term premia in eleven euro-area countries, while controlling for other ECB statements. We find that the term premia of government bonds in euro area countries with higher sovereign risk, as measured by sovereign CDS spreads, decreased more in response to the announcement of the PEPP. This occurred after these term premia had risen in response to a prior monetary policy press conference statement by the ECB president that the ECB was “not here to close spreads”.

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货币政策公告对 COVID-19 大流行期间欧元区期限溢价的影响

我们研究了 ECB 大流行病紧急购买计划 (PEPP) 的公布对 11 个欧元区国家 10 年期政府债券期限溢价的影响，同时控制了 ECB 的其他声明。我们发现，以主权 CDS 利差衡量的主权风险较高的欧元区国家政府债券的期限溢价随着 PEPP 的宣布而下降更多。这是在这些期限溢价因欧洲央行行长此前在货币政策新闻发布会上发表的声明“欧洲央行不会收窄利差”而上升之后发生的。