European sovereign debt crisis and Covid-19 crisis

: a comparative analysis of their impacts on the eurozone sovereign debt markets

Abstract

This Dissertation undertakes a comparative analysis of the impacts of the Monetary Policy decisions taken by the E.C.B. on the Eurozone Sovereign Debt Market between the Sovereign Debt Crisis and the Covid-19 Crisis. The current Dissertation employs a baseline model, anO.L.S. Multilinear Regression model, and, as a Robustness test, a Fixed Effects Regression model is also used. Monthly data from 2010Q1 to 2021Q4 on Eurozone Ten-Year Sovereign Bond Yields as well as Monetary Policy proxy variables, 3M-Euribor, and Macro economiccontrol variables, where the data is retrieved from Refinitive Eikon Datastream and E.C.B. -Statistical Data Warehouse. The findings of this Dissertation demonstrate that Monetary Policy actions pursued by the E.C.B. were effective and directly impacted the European Sovereign Debt Markets. Additionally, the robustness tests performed on GIIPS and non-GIIPS countries corroborate the baseline findings, highlighting the overall robustness and stability of the present Dissertation’s findings. This Dissertation findings give significant input, namely topolicy makers and governments, to better understand the E.C.B.’s Monetary Policy impacts onthe Eurozone Sovereign Debt Markets in moments of crises and greater market volatility.

Date of Award	19 Oct 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Diptes Chandrakante Prabhudas Bhimjee (Supervisor)