Our results indicate only a significant reaction of interest rate swap spreads to some policy events. Among others, the rumours of the early warning for Portugal and Germany on 17 January led to a decrease of the swap spread for Portugal, pointing to increasing concerns about fiscal developments. In contrast, when the Council declared that Portugal has an excessive deficit on 5 November, swap spreads increased both for Portugal and Germany indicating a possible positive confidence effect. Furthermore, the change in swap spreads, when significant, has been mostly five basis points or less, and not exceeding ten basis points according to our estimates. Using moving window.
