CEU Electronic Theses and Dissertations, 2017
| Author | Antal, Márk |
|---|---|
| Title | Spillovers from the European Central Bank's Expanded Asset Purchase Program to Non-Euro Area Financial Markets in Central and Eastern Europe |
| Summary | I carry out empirical analysis on how the European Central Bank's expanded asset purchase program (APP) spilled over to selected financial markets in Central and Eastern European countries outside the eurozone. I consider the impulses of remarkable APP announcements, potentially affecting exchange rates, equity prices, government bond yields with various maturities, and CDS spreads. I differentiate among programs within the APP and find that the most pronounced spillovers induced sovereign bond yields to drop in response to public securities purchase program (PSPP) announcements. Additionally to the existing literature, I assess the impacts after corporate sector purchase program (CSPP) events, and conclude that they were associated with slight increases in government bond yields in four out of the six observed countries. |
| Supervisor | Prof. Ratfai, Attila |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2017/antal_mark.pdf |
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