Can EU Bonds Serve as Euro-Denominated Safe Assets?
نویسندگان
چکیده
A safe asset is of high credit quality, retains its value in difficult times, and traded liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be their yield spread over German Bunds remained contained during 2020 COVID-19 pandemic recession. Recent issuances taps under EU’s SURE NGEU initiatives helped improve EU bonds’ market liquidity from previously low levels, while also reducing risk premia. Eurosystem purchases holdings did not impair liquidity. Currently, an obstacle achieving a genuine euro-denominated status, approaching Bunds, lies one-off, time-limited nature COVID-19-related policy responses.
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ژورنال
عنوان ژورنال: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15110530