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ABSTRACT
This letter shows that the ‘Whatever it takes’ speech by ECB President Draghi on 26 July 2012 and the ensuing installation of the Outright Monetary Transactions’ framework are associated with a reduction in the domestic and cross-border effect of Eurozone news on absolute yield changes in Eurozone sovereign debt. These results are consistent with the popular view that these actions helped to avoid a collapse of the Eurozone.
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
1 Related works using news data based on the EuroIntelligence news briefing are Beetsma et al. (Citation2013; Citation2017).
2 For example, a statement by a German politician about Greece would be considered a news event for Greece.
3 Bahaj (Citation2014) defines these as ‘technical market news directly related to the event country sovereign bond market. This includes the results from important bond auctions (either from a liquidity perspective or due to their signaling value), pronouncements by credit rating agencies and decisions from the ISDA over whether certain policy actions (such as the bond buy-back programme) constitute technical default’.
4 Here, and in the sequel, significance is understood to be significance at the 10% level, or higher.
5 The estimates are available from the authors upon request.
6 The estimates are available from the authors upon request.
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