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- W4224217343 endingPage "104133" @default.
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- W4224217343 abstract "This paper proposes an identification strategy for news about sovereign debt-based asset purchases. It measures sovereign yield changes that are unrelated to movements in risk-free interest rates or risk premiums. Around ECB announcements, these reflect the anticipation of shifts in the effective supply of government debt, caused by central bank purchases. This paper documents that asset purchase news about government bonds have substantial spillovers to corporate bond and stock markets, within and beyond the euro area. Spillovers are unequal across euro-area countries, as stock prices rise most in low-risk countries with very large firms. In contrast, sovereign yields fall homogeneously." @default.
- W4224217343 created "2022-04-26" @default.
- W4224217343 creator A5059985127 @default.
- W4224217343 date "2022-06-01" @default.
- W4224217343 modified "2023-10-04" @default.
- W4224217343 title "Spillover effects of sovereign debt-based quantitative easing in the euro area" @default.
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- W4224217343 doi "https://doi.org/10.1016/j.euroecorev.2022.104133" @default.
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