Financial Markets and Portfolio Management

, Volume 29, Issue 2, pp 149–168 | Cite as

The impact of ECB crisis measures on euro-area CDS spreads

  • Petra Gerlach-KristenEmail author


This paper studies euro-area CDS spreads during the financial crisis with the aim of discovering which of the ECB’s open-market operations reduced bank and government spreads. After controlling for potential contagion across the financial system, it is found that effects vary across operations. Purchases under the Covered Bond Purchase Programme seem to have reduced spreads, as did the announcement of the Securities Market Programme. Actual SMP purchases, however, appear to have raised spreads, perhaps because markets took them as a sign of policymaker concern about the financial system. The same is true for the announcement of the 3-year repos.


CDS spreads ECB Sovereign debt crisis Open-market operations 

JEL Classification

E52 E58 G01 



The author thanks the editor, an anonymous referee, Stefan Gerlach, and seminar participants at University College Dublin, the Central Bank of Ireland, and the Bank of England for useful discussions, and Eddie Casey, Miriam Kurtsiova, Kathryn Prendergast, and Rebecca Stuart for advice on the data.


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Copyright information

© Swiss Society for Financial Market Research 2015

Authors and Affiliations

  1. 1.Swiss National BankZürichSwitzerland

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