To Örebro University

oru.seÖrebro University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The relation between municipal and government bond yields in an era of unconventional monetary policy
Kommuninvest of Sweden, Örebro, Sweden.
Kommuninvest of Sweden, Örebro, Sweden.
Örebro University, Örebro University School of Business. National Institute of Economic Research, Stockholm, Sweden.ORCID iD: 0000-0002-4840-7649
2021 (English)In: Economic notes - Monte dei Paschi di Siena, ISSN 0391-5026, E-ISSN 1468-0300, Vol. 50, no 1, article id e12176Article in journal (Refereed) Published
Abstract [en]

In this paper we investigate how the five-year Swedish municipal bond yield has been related to the corresponding yield on government bonds during the period that the Riksbank has conducted unconventional monetary policy in terms of bond purchases. Using daily Swedish data on bond yields from February 2015 to January 2018, we first conduct an event study to assess the short-run effects of the Riksbank’s bond-purchase announcements. We then estimate bivariate vector autoregressive models in order to study the dynamic relationship between the yields. Results from the event study suggest that the accumulated short-run effect of the Riksbank’s announcements was to lower the government bond yield by approximately 40 to 50 basis points and municipal bond yields by 30 to 35 basis points. Our vector autoregressive analysis indicates – in line with the event study – that an unexpected decrease in the government bond yield initially increases the municipal bond-yield spread. However, after approximately four weeks, the effect has been reversed and the municipal bond-yield spread is lower than it was initially. By conducting this analysis, we contribute to the understanding of the transmission of unconventional monetary policy.

Place, publisher, year, edition, pages
John Wiley & Sons, 2021. Vol. 50, no 1, article id e12176
Keywords [en]
Spread, Event study, Vector autoregression, Cointegration
National Category
Economics
Identifiers
URN: urn:nbn:se:oru:diva-85493DOI: 10.1111/ecno.12176ISI: 000564023300001Scopus ID: 2-s2.0-85089996323OAI: oai:DiVA.org:oru-85493DiVA, id: diva2:1465041
Available from: 2020-09-08 Created: 2020-09-08 Last updated: 2022-01-24Bibliographically approved

Open Access in DiVA

No full text in DiVA

Other links

Publisher's full textScopus

Authority records

Österholm, Pär

Search in DiVA

By author/editor
Österholm, Pär
By organisation
Örebro University School of Business
In the same journal
Economic notes - Monte dei Paschi di Siena
Economics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 140 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf