European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

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European policy and markets : Did policy initiatives stem the sovereign debt crisis in the euro area? / Bergman, Ulf Michael; Hutchison, Michael; Jensen, Svend Erik Hougaard.

I: European Journal of Political Economy, Bind 57, 03.2019, s. 3-21.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Bergman, UM, Hutchison, M & Jensen, SEH 2019, 'European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?', European Journal of Political Economy, bind 57, s. 3-21. https://doi.org/10.1016/j.ejpoleco.2018.06.003

APA

Bergman, U. M., Hutchison, M., & Jensen, S. E. H. (2019). European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area? European Journal of Political Economy, 57, 3-21. https://doi.org/10.1016/j.ejpoleco.2018.06.003

Vancouver

Bergman UM, Hutchison M, Jensen SEH. European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area? European Journal of Political Economy. 2019 mar.;57:3-21. https://doi.org/10.1016/j.ejpoleco.2018.06.003

Author

Bergman, Ulf Michael ; Hutchison, Michael ; Jensen, Svend Erik Hougaard. / European policy and markets : Did policy initiatives stem the sovereign debt crisis in the euro area?. I: European Journal of Political Economy. 2019 ; Bind 57. s. 3-21.

Bibtex

@article{03c38d3aa62f4660b45218915f40e07f,
title = "European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?",
abstract = "We investigate how European policy initiatives influenced market assessments of sovereign default risk and banking sector fragility during the sovereign debt crisis in four adversely affected countries — Portugal, Ireland, Spain and Italy. We focus on three broad groups of policies: (a) ECB policy actions (monetary and financial support), (b) EU programs (financial and fiscal rules as well as financial support in crisis countries), and (c) domestic austerity programs. We measure immediate market impact effects: what policies changed risk perceptions, using CDS spreads on sovereign bonds and banks in this assessment. We employ dynamic panel and event study methodologies in the empirical work. We find that a number of programs initially stabilized sovereign and bank bond markets (e.g. Outright Monetary Transactions program), although announcement and implementation impacts on markets differed in some cases (e.g. second Covered Market Bond Program). Actions designed to shore up sovereign markets often lowered risk assessments in bank bond markets and policies designed to ensure safety and soundness of the European banking system in some cases significantly impacted sovereign debt markets. Finally, a number of policies designed to stabilize markets had surprisingly little immediate impact on either sovereign or bank bond market risk assessments.",
keywords = "Faculty of Social Sciences, EU policy initiatives, Transmission of policy news, Euro crisis",
author = "Bergman, {Ulf Michael} and Michael Hutchison and Jensen, {Svend Erik Hougaard}",
year = "2019",
month = mar,
doi = "10.1016/j.ejpoleco.2018.06.003",
language = "English",
volume = "57",
pages = "3--21",
journal = "European Journal of Political Economy",
issn = "0176-2680",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - European policy and markets

T2 - Did policy initiatives stem the sovereign debt crisis in the euro area?

AU - Bergman, Ulf Michael

AU - Hutchison, Michael

AU - Jensen, Svend Erik Hougaard

PY - 2019/3

Y1 - 2019/3

N2 - We investigate how European policy initiatives influenced market assessments of sovereign default risk and banking sector fragility during the sovereign debt crisis in four adversely affected countries — Portugal, Ireland, Spain and Italy. We focus on three broad groups of policies: (a) ECB policy actions (monetary and financial support), (b) EU programs (financial and fiscal rules as well as financial support in crisis countries), and (c) domestic austerity programs. We measure immediate market impact effects: what policies changed risk perceptions, using CDS spreads on sovereign bonds and banks in this assessment. We employ dynamic panel and event study methodologies in the empirical work. We find that a number of programs initially stabilized sovereign and bank bond markets (e.g. Outright Monetary Transactions program), although announcement and implementation impacts on markets differed in some cases (e.g. second Covered Market Bond Program). Actions designed to shore up sovereign markets often lowered risk assessments in bank bond markets and policies designed to ensure safety and soundness of the European banking system in some cases significantly impacted sovereign debt markets. Finally, a number of policies designed to stabilize markets had surprisingly little immediate impact on either sovereign or bank bond market risk assessments.

AB - We investigate how European policy initiatives influenced market assessments of sovereign default risk and banking sector fragility during the sovereign debt crisis in four adversely affected countries — Portugal, Ireland, Spain and Italy. We focus on three broad groups of policies: (a) ECB policy actions (monetary and financial support), (b) EU programs (financial and fiscal rules as well as financial support in crisis countries), and (c) domestic austerity programs. We measure immediate market impact effects: what policies changed risk perceptions, using CDS spreads on sovereign bonds and banks in this assessment. We employ dynamic panel and event study methodologies in the empirical work. We find that a number of programs initially stabilized sovereign and bank bond markets (e.g. Outright Monetary Transactions program), although announcement and implementation impacts on markets differed in some cases (e.g. second Covered Market Bond Program). Actions designed to shore up sovereign markets often lowered risk assessments in bank bond markets and policies designed to ensure safety and soundness of the European banking system in some cases significantly impacted sovereign debt markets. Finally, a number of policies designed to stabilize markets had surprisingly little immediate impact on either sovereign or bank bond market risk assessments.

KW - Faculty of Social Sciences

KW - EU policy initiatives

KW - Transmission of policy news

KW - Euro crisis

U2 - 10.1016/j.ejpoleco.2018.06.003

DO - 10.1016/j.ejpoleco.2018.06.003

M3 - Journal article

VL - 57

SP - 3

EP - 21

JO - European Journal of Political Economy

JF - European Journal of Political Economy

SN - 0176-2680

ER -

ID: 198721587