6/2022 Gerda Kirpson, Martti Randveer, Nicolas Reigl, Karsten Staehr, Lenno Uusküla. Macroeconomic News and Sovereign Interest Rate Spreads before and during Quantitative Easing
Working Papers of Eesti Pank 6/2022
This paper studies how macroeconomic news affected the spreads of Italian sovereign bonds before and during the quantitative easing by the European Central Bank. Daily changes in the bond spreads are regressed on macroeconomic news shocks, where the news shocks are computed as the difference between the published data and the preceding private-sector forecasts. The analysis shows that macroeconomic news shocks had economically and statistically significant effects in 2012–2014 before quantitative easing, but the effects were negligible afterwards with a possible exception of a period in 2019 when the net asset purchases were paused.
JEL Codes: E44, E58
Keywords: sovereign bond spreads, macroeconomic news, quantitative easing, monetary policy
Authors’ affiliations: Gerda Kirpson: Bank of Estonia; Martti Randveer: Bank of Estonia; Nicolas Reigl: Bank of Estonia and Tallinn University of Technology; Karsten Staehr (corresponding author): Bank of Estonia and Tallinn University of Technology, email: [email protected]; Lenno Uusküla: Luminor Bank and University of Tartu.
The views expressed are those of the authors and do not necessarily represent the official views of Luminor Bank, Eesti Pank or the Eurosystem.