Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57835
Title: European Government Bond Markets and Monetary Policy Surprises: Returns, Volatility and Integration
Author: Abad, Pilar
Chuliá Soler, Helena
Keywords: Bancs d'inversió
Risc (Economia)
Bons
Gestió d'actius i passius
Actius financers derivats
Països de la Unió Europea
Investment banking
Risk
Bonds
Asset-liability management
Derivative securities
European
Union countries
Issue Date: 2013
Publisher: Universitat de Barcelona. Institut de Recerca en Economia Aplicada Regional i Pública
Abstract: In this paper we investigate the response of bond markets to euro area and US monetary policy shocks. Specifically, we analyze the effect of unexpected changes in interest rates implemented by the European Central Bank -ECB- and the Federal Open Market Committee -FOMC- not only on the returns, but also on the volatility and the integration of European government bond markets. For all three characteristics our results show that the response to monetary policy surprises varies across groups of countries -EMU EU-15 central, EMU EU-15 peripheral, non-EMU EU-15 and non-EMU new EU-. We also find that the effects of monetary policy announcements on the level of integration are more pronounced than those on returns and volatility. Finally, our results paint a complex picture of the effects of monetary policy news releases on the level of integration. The effect of ECB monetary policy surprises differs across old and new European Union members, while the effect of FOMC monetary policy surprises differs across EMU and non-EMU members.
Note: Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2013/201325.pdf
It is part of: IREA – Working Papers, 2013, IR13/025
URI: http://hdl.handle.net/2445/57835
ISSN: 2014-1254
Appears in Collections:Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA))

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