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Asset Purchase Programmes and Financial Markets : Lessons from the Euro Area

Altavilla, Carlo - 2016

We evaluate the effects on asset prices of the ECB asset purchase program (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then...

Persistent link: https://www.econbiz.de/10013001152

International Capital Flows at the Security Level - Evidence from the ECB's Asset Purchase Programme

Bergant, Katharina - 2020

We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector...

Persistent link: https://www.econbiz.de/10012836534

Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies

Mouabbi, Sarah - 2018

We quantify the macroeconomic effects of the European Central Bank's unconventional monetary policies using a DSGE model which includes a set of shadow interest rates. Extracted from the yield curve, these shadow rates provide unconstrained measures of the overall stance of monetary policy....

Persistent link: https://www.econbiz.de/10012934765

Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve

Eser, Fabian - 2019

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the “free-float of duration risk” borne by price-sensitive investors. We include...

Persistent link: https://www.econbiz.de/10012866996

Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News

De Santis, Roberto A. - 2016

Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to...

Persistent link: https://www.econbiz.de/10012984575

Unconventional Monetary Policy, Fiscal Side Effects and Euro Area (Im)balances

Hachula, Michael - 2016

We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with an external instrument. The instrument is the common unexpected variation in euro area sovereign spreads for different maturities on policy announcement...

Persistent link: https://www.econbiz.de/10012986094

Heterogeneous effects of unconventional monetary policyon the bond yields across the euro area

Demir, İshak; Eroğlu, Burak Alparslan; … - 2021

This paper investigates the impact of the European Central Bank's unconventionalmonetary policies (UMP) between 2008-2019 on the European government bond yields.It adopts a novel econometric approach that combines a data-rich factor analysis andVAR with heteroskadasiticy based identification....

Persistent link: https://www.econbiz.de/10012496467

A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies

Fulli-Lemaire, Nicolas - 2014

sparked an unprecedented sovereign debt crisis that rapidly spread to the Euro-Zone's weakest member states. As the crisis … increasingly drove a wedge between a seemingly resilient Euro-Zone core and its faltering periphery, its first collateral victims … were the private banks of the hardest-hit sovereigns. They were rapidly followed by the rest of the Euro-Zone's banks as a …

Persistent link: https://www.econbiz.de/10013063273

Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

van der Zwan, Terri; Kole, Erik; van der Wel, Michel - 2022

Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector...

Persistent link: https://www.econbiz.de/10013309162

The Dynamic Effects of the ECB’s Asset Purchases : A Survey-Based Identification

Lhuissier, Stéphane; Nguyen, Benoît - 2021

This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are...

Persistent link: https://www.econbiz.de/10013240797