Template-Type: ReDIF-Paper 1.0
Author-Name: Mark Antal
Author-X-Name-First: Mark
Author-X-Name-Last: Antal
Author-Email: marcantal@gmail.com
Author-Workplace-Name: European Central Bank

Author-Name: Lorant Kaszab
Author-X-Name-First: Lorant 
Author-X-Name-Last: Kaszab
Author-Email: kaszabl@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)

Title: Spillover Effects of the European Central Bank's Expanded Asset Purchase
Program to Non-eurozone Countries in Central and Eastern Europe

Abstract: For a panel of six Central and Eastern European countries outside the eurozone
(Bulgaria, Croatia, Czechia, Hungary, Poland and Romania)
we estimate the spillover effects of the European Central Bank's Expanded
Asset Purchase Program (APP) on exchange rates, equity prices, government bond
yields of various maturities, and CDS spreads. We find that the most
pronounced spillovers induced sovereign bond yields to drop by around 1-6
basis points in a two-day time window in response to the Public Sector
Purchase Program (PSPP) announcements.

Length: 28 pages
Creation-Date: 2021
File-URL: https://www.mnb.hu/letoltes/mnb-op-140-final-1.pdf
File-Format: Application/pdf

Number: 2021/140
Classification-JEL: E51, E32, E44, F45, F47.
Keywords: ordinary least squares estimation, panel data, unconventional monetary policy
Handle: RePEc:mnb:opaper:2021/140