کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964555 1479165 2015 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Macroannouncements, bond auctions and rating actions in the European government bond spreads
ترجمه فارسی عنوان
اعلامیه های کلان، مزایده های بورس اوراق بهادار و اقدامات ارزیابی در اوراق قرضه دولتی اروپا، گسترش می یابد؟
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی


• We investigate the impact of market movers on European government bond spreads.
• We evaluate both pre- and post- announcement effects.
• Real economy and forward looking news releases from US and Euro area play a role.
• Government bond auctions in distressed countries are relevant.
• No role is played by rating actions.

This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009–05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect. No role is played by rating actions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 53, May 2015, Pages 148–173
نویسندگان
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