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Contribution Details

Type Master Thesis
Scope Discipline-based scholarship
Title Unconventional Monetary Policy and Covered Bonds
Organization Unit
Authors
  • Simon Frei
Supervisors
  • Kjell G. Nyborg
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Number of Pages 43
Date November 2017
Abstract Text The thesis at hand studies the impact of ECB unconventional monetary policy announcements on covered bond yields. I employ event-based regressions to find varying reactions of policy events on covered bond spreads of euro-zone core and periphery countries. I also apply the same regressions on high and low average spread baskets to analyze different reactions within countries. The results show periphery countries reacting stronger to ECB policy than core countries and in the case of Spain, high spread bonds being stronger affected than low spread bonds from the same country. Possible explanations for the results are discussed using related literature.
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