Effects of the ECB’s monetary policy on sovereign bonds pricing

Risk Management. 2026. Vol. 28. Article 38.

Carlos Rincon, Alekseeva O., Vukovic D., Nazarova V.

This study examines the long-term effects of the European Central Bank’s (ECB) unconventional monetary policy (UMP) interventions on the yields of sovereign bonds in the Eurozone. Using a sample of 14 European countries from January 2009 to December 2023, our findings indicate that increases of 1 billion euros in the ECB’s balance sheet are associated with average long-term decreases of 48 basis points in the European sovereign yields; though these effects are larger on yields of the European periphery countries compared to those of the core countries. Our results are robust under a set of various endogenous panel data models including the dynamic Arellano-Bond estimations. This research makes a significant contribution to the understanding of debt markets pricing by elucidating the extent to which interventions in government debt securities foster price distortions in complex debt markets such as the European and the associated risk management implications.

Keywords: monetary policy, bond yields, quantitative easing, sovereign bonds, government interventions