ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds

49 Pages Posted: 18 Sep 2012 Last revised: 7 May 2014

Christoph Trebesch

Ludwig Maximilian University of Munich; CESifo (Center for Economic Studies and Ifo Institute)

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics; CEPR

Multiple version iconThere are 2 versions of this paper

Date Written: March 31, 2014

Abstract

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of the interventions on the targeted instruments. Bonds bought by the ECB see a much steeper drop in yields than those not bought. This is consistent with theories of "local supply effects" in segmented or illiquid bond markets.‬

Keywords: Central Bank Asset Purchases, Securities Markets Programme, Eurozone Crisis, Sovereign Risk, Market Segmentation

JEL Classification: E43, E58, F34, G12

Suggested Citation

Trebesch, Christoph and Zettelmeyer, Jeromin, ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (March 31, 2014). CESifo Working Paper Series No. 4731. Available at SSRN: https://ssrn.com/abstract=2148301 or http://dx.doi.org/10.2139/ssrn.2148301

Christoph Trebesch (Contact Author)

Ludwig Maximilian University of Munich ( email )

Schackstr. 4
Munich, 80539
Germany

HOME PAGE: http://https://sites.google.com/site/christophtrebesch/

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Jeromin Zettelmeyer

Peter G. Peterson Institute for International Economics ( email )

1750 Massachusetts Avenue, NW
Washington, DC 20036
United States

CEPR ( email )

77 Bastwick Street
London, EC1V 3PZ
United Kingdom

Paper statistics

Downloads
342
Rank
41,374
Abstract Views
1,594