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WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY

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In this section we look at data concerning 10-year government bond yields. Although our main interest is the default risk, this presents only one channel through which fiscal policies can affect long-term yields. There are other channels operating through monetary-fiscal interaction, which should be reflected in the evolution of yields. Therefore we start our descriptive analysis in this section by looking at yields, forward rates and inflation expectations at a weekly frequency. Then we move to an analysis of interest rate swap spreads, at a weekly and daily frequency. For the EU countries represented in Figure 1, the yields dropped from an interval of 4.9%-5.2% in the beginning.