Unconventional Monetary Policy Announcements Impact on Financial Markets in the Eurozone

Starting from 2008, ECB uses instruments of unconventional monetary policy trying to improve economic conditions in the eurozone. According to researchers, unconventional monetary policy announcements impact is ambiguous. As pointed out by Frank and Hesse (2009), announcements of exceptional liquidity measures have insignificant influence on financial markets. At the same time Lenza et al. (2010), Peersman (2011) and De Santis (2016) found effectiveness of unconventional monetary policy instruments. The goal of this paper is to assess unconventional monetary policy announcements impact on money markets and sovereign bond markets in the eurozone. The paper contains the features of model from Szczerbowicz U. et al (2015). The results show that announcements on decision of ECB to lower its deposit rate to 0% and fixed-rate full allotment program significantly reduced spread on money market. Positive impact on sovereign bond spreads (their reduction) has short-term, long-term sovereign bond purchase programs and QE program. The effectiveness of the unconventional monetary policy instruments usage was found in this paper that coincides with Szczerbowicz U. et al. (2015) и Pattipeilohy C. et al (2013) results.