Interest Rate Differentials and Monetary Policy in the European Monetary Union: The Case of 10 and 30 Year Bonds

  • Miguel Rodriguez GonzalezEmail author
  • Tobias Basse
  • Johannes Tholl


This empirical study uses techniques of time series analysis to examine how government bond yield spreads in France, Italy and Spain (relative to Germany) react to central bank actions in the European Monetary Union. More specifically, fixed income securities with maturities of 10 and 30 years are considered. These long term bonds should be of special importance for the European life insurance industry because of the liability structure of these financial services firms. Other central banks already have hiked interest rates and financial markets, as a consequence, now financial markets seem to be waiting for an increase to the Main Refinancing Operations Announcement Rate. Six bivariate VAR models are estimated. Our results imply that in general there is no strong positive reaction of the bond yield spreads to a contractionary monetary policy shock. Furthermore, there seems to be a negative reaction of the monetary policy rate to a positive shock to the government bond yield spread in the first months. In some cases (10 year bonds of France and Italy) this empirical finding is statistically significant. Therefore, the empirical evidence reported here is not only interesting from the viewpoint of economic theory but also has practical implications for asset managers in the European insurance industry.


Diese empirische Studie nutzt Techniken der Zeitreihenanalyse um zu untersuchen, wie die Renditedifferenzen von französischen, italienischen und spanischen Anleihen relativ zu deutschen Papieren auf eine Leitzinsanhebung der Europäischen Zentralbank reagieren. Betrachtet werden die Laufzeitsegmente 10 und 30 Jahre. Papiere mit entsprechend langen Laufzeiten haben, bedingt durch die Struktur der Passiva dieser institutionellen Investoren, eine besondere Relevanz für europäische Lebensversicherungsunternehmen. Da in einigen anderen Währungsräumen bereits Anpassungen des Leitzinsniveaus stattgefunden haben, warten die Finanzmärkte momentan regelrecht auf das Handeln der Europäischen Zentralbank. Sechs bivariate VAR-Modelle werden geschätzt. Unsere Ergebnisse deuten darauf hin, dass es generell keine starke positive Reaktion der Rentenrenditespreads auf eine kontraktive Geldpolitik der EZB zu geben scheint. Weiterhin zeigen sich Hinweise, dass es in den ersten Monaten eine negative Reaktion des Leitzinses auf einen positiven Schock der Rentenrenditespreads zu geben scheint. In manchen Fällen (10-jährige Staatsanleihen von Frankreich und Italien) sind diese empirischen Ergebnisse statistisch signifikant. Die hier dokumentierten empirischen Ergebnisse haben somit nicht nur eine Bedeutung für die ökonomische Theorie, sondern können auch Impulse für die praktische Arbeit in der Kapitalanlage der europäischen Versicherungswirtschaft liefern.


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Copyright information

© Springer-Verlag GmbH Deutschland, ein Teil von Springer Nature 2019

Authors and Affiliations

  1. 1.Gottfried Wilhelm Leibniz UniversitätHannoverGermany
  2. 2.Norddeutsche Landesbank (NORD/LB)HannoverGermany
  3. 3.Touro CollegeBerlinGermany

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