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Paper eres2016_337:
Revisiting and Extending Beirne et al.ís (2011) Analysis of the Eurosystemís Covered Bond Purchase Program on Secondary Markets

id eres2016_337
authors Markmann, Holger
year 2016
title Revisiting and Extending Beirne et al.ís (2011) Analysis of the Eurosystemís Covered Bond Purchase Program on Secondary Markets
source 23rd Annual European Real Estate Society Conference in Regensburg, Germany
summary Building on the ECBís proprietary research of Beirne et al. (2011), I examine the effectiveness of the Eurosystemís Covered Bond Purchase Programs 1 to 3 on an aggregate level and use euro-denominated covered bonds issued by British banks as a control group. Covering the whole crisis-cycle of 2008 to 2014, I employ an unobserved component model (UCM) utilizing a random walk stochastic trend. The results of Beirne at al., particularly the initial announcement effects (c. -12 bps for euro denominated covered bonds) are overestimated for CBPP1. The announcements of CBPP2 and 3 yield mixed results for individual countries and insignificant effects for all euro-denominated bonds. The actual implementation of the programs tends to widen covered bond yields, contrary to the Eurosystemís intention
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
ratings
session Real Estate Finance
last changed 2017/11/18 16:16
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