Unit:
Κατεύθυνση Διαχείριση Κεφαλαίων και ΚινδύνωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Sofronis Nicholas
Supervisors info:
Καινούργιος Δημήτριος, Καθηγητής ,Tμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Η Επίδραση των Προγραμμάτων Ποσοτικής Χαλάρωσης της ΕΚΤ στην Μεταβλητότητα των Αποδόσεων των Εταιρικών Ομολόγων.
Translated title:
The Impact of ECB's Quantitative Easing Programs on Corporate Bonds Yields Volatility.
Summary:
The extensive effects of the economic and financial crisis have resulted in interest rates of many developed economies falling to zero or even negative levels. This made conventional monetary policy unenforceable, leading the central banks of these economies (Bank of Japan, FED, Bank of England, ECB) to implement non-conventional monetary policy measures. These measures mainly concern the expansion of central banks' assets through the implementation of various asset purchase programs which is a relatively new monetary instrument, known as quantitative easing. The aim of this paper is to study for the period 2015-2021, the Impact of ECB's quantitative easing programs on corporate bonds yields volatility. Firstly we present the ECB's quantitative easing program by analyzing the corporate bond market segment and then explore the impact of the ECB's quantitative easing announcements and actions on the volatility of our sample of corporate bond indices through GARCH models. Our findings support the fact that the first phase of the quantitative easing program for corporate bonds had the expected effect on yields and volatility in the corporate bond indices of our sample. In addition, the effect of the second and third program had a significantly smaller effect on the volatility of the indicators, mainly due to the expected results of the first program.
Main subject category:
Social, Political and Economic sciences
Keywords:
Quantitative easing, Non-conventional monetary policy measures, GARCH, TARCH, Corporate bonds Indices
