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Print Author Name SZCZERBOWICZ, Urszula (Visiting Scholar, RIETI) 　　　　 Download / Links Discussion Papers:14-E-008 [PDF:766KB] 　　　　 This Non Technical Summary does not constitute part of the above-captioned Discussion Paper but has been prepared for the purpose of providing a bold outline of the paper, based on findings from the analysis for the paper and focusing primarily on their implications for policy. For details of the analysis, read the captioned Discussion Paper. Views expressed in this Non Technical Summary are solely those of the individual author(s), and do not necessarily represent the views of the Research Institute of Economy, Trade and Industry (RIETI). Between 2007 and 2012, the eurozone financial markets were deeply affected by the global financial crisis and the eurozone sovereign crisis. Uncertainty concerning banks' health and sovereign solvency increased risk premia and made it difficult for the euro area banks and governments to refinance themselves. The conventional monetary tool--interest rate setting--turned out to be ineffective in reducing the tensions in the financial markets. To prevent credit crunch, the European Central Bank (ECB) implemented the following unconventional monetary policies: exceptional liquidity provisions and asset purchases. In this paper, we measure the effectiveness of the ECB's unconventional monetary policies in lowering borrowing costs for the eurozone banks and governments. To this purpose, we construct the database of monetary policy announcements and classify them into separate categories according to their transmission channel. We test via event-based regressions the impact of all of the announcements on money market spreads, covered bond spreads, and sovereign bond spreads in several euro area countries. Money markets and covered bond markets represent short term and long term refinancing sources for banks, respectively, while sovereign spreads approximate borrowing costs for governments. We find that 3-year loans to banks and lowering the ECB deposit rate to zero significantly reduced persistent money market tensions in the eurozone. Furthermore, our results show the central bank interventions in sovereign markets are particularly effective when the sovereign risk is high. Interestingly, the interdependence between sovereign risk and bank risk plays an important role in a transmission of the ECB asset purchases: bank-covered bond purchases diminish sovereign spreads while sovereign bond purchases reduce covered bond spreads. Figure 1: Impact of sovereign bond purchase program announcement (SMP) Source: Thomson Reuters Datastream Figure 2: Impact of covered bond purchases announcements Source: Thomson Reuters Datastream Figure 3: Impact of 3 year loans announcement Source: Thomson Reuters Datastream Research/Policy Papers Discussion Papers (English) Discussion Papers (Japanese) Policy Discussion Papers (English) Policy Discussion Papers (Japanese) Technical Papers (English) Technical Papers (Japanese) Non Technical Summaries List of Articles Published in Peer-reviewed Academic Journals Research Digest Links Discussion Papers Search Communications Newsletter RSS Feed Facebook X YouTube Research Areas Research Programs (FY2024-2028) Research Programs (FY2020-2023) Research Programs (FY2016-2019) Research Programs (FY2011-2015) Policy Research Domains (FY2006-2010) Projects Survey Fellows Research/Policy Papers Discussion Papers (English) Discussion Papers (Japanese) Policy Discussion Papers (English) Policy Discussion Papers (Japanese) Technical Papers (English) Technical Papers (Japanese) Non Technical Summaries List of Articles in Journals Research Digest Discussion Papers Search Publications RIETI Books (English) RIETI Books (Japanese) History of Japan's Trade and Industry Policy Authors' Words Other Publications (English) Other Publications (Japanese) Events Symposiums Workshops BBL Seminars Archived Seminar Series Data JIP Database R-JIP Database CIP Database Industry-Specific Nominal and Real Effective Exchange Rates AMU and AMU Deviation Indicators JSTAR RIETI-TID RIETI FDI Database ICPA Project Links Articles Column Special Series Newspapers & Magazines Fellows' Works VoxEU Column From IZA Perspectives from Around the World Other Contents RIETI Report Policy Update Keizai Sangyo Journal (METI Journal) About RIETI Privacy Policy Site Policy Site Map Help Contact METI Web Site Research Institute of Economy, Trade and Industry, IAA (JCN 6010005005426)JCN: Japan Corporate Number Opinions expressed or implied on this website are solely those of the author, and do not necessarily represent the views of the Research Institute of Economy, Trade and Industry (RIETI).Titles, numbers, specific names, etc. on this website are as of the date of publication. 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