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

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

We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable “twist” of the Greek yield curve. Howe...

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Bibliographic Details
Published in:IMF economic review Vol. 66; no. 2; pp. 287 - 332
Main Authors: Trebesch, Christoph, Zettelmeyer, Jeromin
Format: Journal Article
Language:English
Published: London Palgrave Macmillan Journals 01-06-2018
Palgrave Macmillan UK
Palgrave Macmillan Ltd. (Springer)
Subjects:
Capital Markets
Central banks
Corporate bonds
Credit markets
Economic Policy
Economics
Economics and Finance
International Economics
Macroeconomics/Monetary Economics//Financial Economics
Online information services
Prices and rates
RESEARCH ARTICLE
Greece
United Kingdom
United States
Germany
E580
F340
G120
E430
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Summary:We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable “twist” of the Greek yield curve. However, the effects were limited to those sovereign bonds actually bought. We find little evidence for positive effects on market quality, or spill-overs to close substitute bonds, CDS markets, or corporate bonds. Hence, our findings attest to the power of central bank intervention in times of crisis, but also suggest that in highly distressed situations, this power may not extend beyond those assets actually purchased.
ISSN:2041-4161
2041-417X
DOI:10.1057/s41308-018-0051-y