Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area

This paper investigates the impact of European Central Bank's unconventional monetary policies (UMP) between 2008 and 2019 on government bond yields. It adopts a novel econometric approach that combines data-rich factor analysis Vector autoregression (VAR) with heteroskedastic-based identification. The results identify significant substantial for all countries maturities, but stronger persistent periphery. When we decompose into separate components, find UMP decreases market component countries. risk-mutualization periphery permanently at cost small increase core countries, which provides evidence in EMU.