آیا این واژه مهم است؟ تاثیر ارتباطات در CDS PIIGS و گسترش بازده اوراق قرضه در طول بحران بدهی در اروپا

The paper aims to shed light on the role of communication in the European debt crisis. It examines the effects of public statements by ECB Governing Council members, EU officials and national representatives on the PIIGS' CDS and bond yield spreads. The focus lies on dovish statements that signal strong determination in the rescue of indebted countries, and hawkish statements that indicate limited commitment to support the PIIGS and protect its creditors. The analysis of daily data for the period between January 1, 2009 and August 12, 2011 in an EGARCH framework suggests that communication by representatives of Germany, France, and the EU as well as ECB Governing Council members had an immediate impact on both types of securities. No effects are found for communication by representatives of the smaller eurozone member countries.

The European debt crisis has sparked a heated controversy on its causes, mechanics, and potential solutions. This paper aims to contribute to the ongoing debate by focusing on an aspect that has – at least to my knowledge – not been analyzed systematically so far: Communication by the eurozone's policy-makers and its effect on sovereign Credit Default Swap (CDS) and bond yield spreads.1 According to the economic literature, communication can alter expectations and with it market outcomes for at least two reasons (cf. Blinder et al., 2008). In the presence of asymmetric information between policy-makers and the public, communication can hold important information for market participants. Furthermore, individuals may base their decisions on heuristics, since rational optimization is too complex. Communication can provide the basis for such shortcuts, and thereby directly influence behavior. Indeed, a number of empirical studies provide convincing evidence for the impact of communication by central bankers on the economy (for a comprehensive survey see Blinder et al., 2008). Even though a substantial body of research on central bank communication has emerged (e.g. Siklos and Sturm, 2013), there are hardly any studies on the impact of public statements by other institutions.2 Apparently, little is known about the effects of public statements by decision-makers beyond the field of monetary policy. Despite this lack of empirical knowledge, it is often argued that communication plays a crucial role in crisis management (e.g. Boin et al., 2005). Repeated calls for more verbal discipline among European officials – in some cases one could refer to open disputes – highlight the significance attributed to communication in dealing with the eurozone crisis.3 The question whether communication actually matters in the context of the ongoing debt crisis, however, remains unanswered. This paper argues that the eurozone's institutional framework and its strategy to manage the crisis cause great uncertainty among private agents, which is why they strongly rely on policy signals by leading decision-makers. Since politicians and central bankers cannot only intervene decisively in the economy, but also have superior knowledge about the tools they consider appropriate to do so, a substantial level of asymmetric information prevails. Hence, by commenting on potential policy options decision-makers can provide valuable information to market participants. More specifically, such statements can give important insights on the European community's commitment to support indebted nations and protect its creditors, which in turn can affect the behavior of investors. To study the impact of communication by the eurozone's leading decision-makers, I examine the sovereign CDS and bond yield spreads of the so-called PIIGS, namely Portugal, Ireland, Italy, Greece, and Spain. I thereby draw on daily data for the period between January 1, 2009 and August 12, 2011 which I analyze in an EGARCH framework. The results suggest that both hawkish and dovish statements moved financial markets during the period under consideration. Dovish comments display a weaker pattern with respect to sign and significance than hawkish statements, especially in the bond yield models, which seem to be less responsive than CDS premia. The paper starts by discussing the role of communication in the context of the European debt crisis. Section 3 presents the data. Section 4 discusses the results of the main empirical analysis and tests for robustness. Section 5 concludes.

In a television broadcast on the debt crisis, an exchange dealer known as “Mr. Dax”, was asked whether financial markets react to communication by German politicians. To that he replied: “Definitely not […]. I think politicians overestimate themselves, if they assume that their words have the power to unsettle traders working at an investment bank like Goldman Sachs.”21 The present paper's objective is to answer a similar question. It examines the effects of communication by ECB governing council members, EU officials, as well as national representatives on the PIIGS' CDS and bond yield spreads during the first phase of the European sovereign debt crisis. The focus lies on dovish statements that signal strong determination in the rescue of indebted countries, and hawkish statements that indicate limited commitment to support the PIIGS and protect its creditors. The results based on a multivariate analysis in the EGARCH framework using daily data for the period from January 1, 2009 to August 12, 2011 reject the proposition by “Mr. Dax” quoted above. My findings suggest that hawkish comments caused an increase in spreads, whereas statements signaling high commitment to shield peripheral eurozone countries held the opposite effect. Dovish comments display a somewhat weaker pattern regarding sign and significance than hawkish comments, especially in the bond yields models, which might indicate an asymmetric response of the sovereign bond market to good and bad news, respectively. With respect to the source of communication, the clearest pattern is found for representatives of Germany, but for French politicians and leading EU officials the models reveal fairly consistent correlations too. Regarding communication by ECB officials, the statistical analysis shows that alongside the source of a message, its content played an important role as well. Whereas no coherent effects on CDS and bond yield spreads are found for ECB statements on matters within the political domain, there is some evidence that communication on government bond purchases and the collateral framework moved financial markets. No consistent pattern can be found for communication by politicians of the smaller eurozone member countries and the PIIGS states indicating that they received the least attention by financial markets.