This paper studies how the announcement of the ECB’s monetary policies stopped the spread of the COVID-19 pandemic to the European sovereign debt market. We show that up to March 9, the occurrence of new cases in euro area countries had a sizeable and persistent effect on 10-year sovereign bond spreads relative to Germany: 10 new confirmed cases per million people were accompanied by an immediate spread increase of 0.03 percentage points (ppt) that lasted $5$ days, for a total increase of 0.35 ppt. For periods afterwards, the effect falls to near zero and is not significant. We interpret this change as an indicator of the success of the ECB’s March 12 press conference, despite the “we are not here to close spreads” controversy. Our results hold for the stock market, providing further evidence of the effectiveness of the ECB’s March 12 announcements in stopping the financial turmoil. A counterfactual analysis shows that without the shift in the sensitivity of sovereign bond markets to COVID-19, spreads would have surged to 4.2% in France, 12.5% in Spain, and 19.5% in Italy by March 18, when the ECB’s Pandemic Emergency Purchase Programme was finally announced.

本文研究了欧洲央行货币政策的公布如何阻止 COVID-19 大流行病向欧洲主权债务市场的蔓延。我们显示，截至 3 月 9 日，欧元区国家新增病例对 10 年期主权债券利差相对于德国产生了相当大且持续的影响：每百万人新增 10 例确诊病例，利差立即增加 0.03持续的百分点 (ppt)$\mathrm{5个}$天，总计增加 0.35 个百分点。对于之后的时期，影响下降到接近于零并且不显着。我们将这一变化解读为欧洲央行 3 月 12 日新闻发布会取得成功的一个指标，尽管存在“我们不是来收窄利差”的争议。我们的结果适用于股市，进一步证明了欧洲央行 3 月 12 日的公告在阻止金融风暴方面的有效性。反事实分析表明，如果主权债券市场对 COVID-19 的敏感性没有发生变化，到 3 月 18 日欧洲央行的大流行病紧急购买计划时，法国的利差将飙升至 4.2%，西班牙的利差将飙升至 12.5%，意大利的利差将飙升至 19.5%节目终于公布了。