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Evaluating the impact of quantitative easing and tightening events on Portuguese sovereign bond yields: a new methodology for the redenomination premium
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Orientador(es)
Resumo(s)
This paper evaluates the effects of Quantitative Easing and Quantitative Tightening programs on
the Portuguese Sovereign Bond Yields and its channels from 2020 to 2023, using an events-study
methodology. Credit Default Swaps with different clauses and currencies are used to obtain Quanto
Credit Default Swaps and the ISDA Basis, which are then used to estimate the channels that
compose the yield. For the 5-year maturity, QE affected the yield through the Default and
Redenomination channels particularly in the announcements of the creation of PEPP and the first
additional package of PEPP, with an abnormal effect of -29 and -18 basis points, respectively. QT
affected the yield mainly through the Euro Swap Rate and the Segmentation channels, with the
abnormal effects corresponding to 36 and 32 basis points for the first and second announcements
of 2022, respectively.
Descrição
Palavras-chave
Quantitative easing Quantitative tightening Monetary policy transmission Sovereign bond market Credit default swap