ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds

This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB purchases at the bond-level. The results show a large impact of the interventions on the targeted instruments. Bonds bought by the ECB see a much steeper drop in yields than those not bought. This is consistent with theories of "local supply effects" in segmented or illiquid bond markets.‬

Keywords: Central Bank Asset Purchases, Securities Markets Programme, Eurozone Crisis, Sovereign Risk, Market Segmentation

JEL Classification: E43, E58, F34, G12

Suggested Citation: Suggested Citation

Trebesch, Christoph and Zettelmeyer, Jeromin, ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds (March 31, 2014). CESifo Working Paper Series No. 4731, Available at SSRN: https://ssrn.com/abstract=2148301 or http://dx.doi.org/10.2139/ssrn.2148301