A HIGH-FREQUENCY ASSESSMENT OF THE ECB SECURITIES MARKETS PROGRAMME

• 成果类型: Article
• 署名作者: Ghysels, Eric; Idier, Julien; Manganelli, Simone; Vergote, Olivier
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; European Central Bank; Bank of France; European Central Bank
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvw003
• 发表日期: 2017
• 页码: 218-243
• 关键词: central bank intervention; foreign-exchange rates; term structure; volatility; purchases; models

摘要

Policy impact studies often suffer from endogeneity problems. Consider the case of the European Central Bank (ECB) Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downward the correlation between yields and the amounts of bonds purchased. Simple regressions of daily changes in yields on quantities often give insignificant or even positive coefficients and therefore suggest that Securities Markets Programme (SMP) interventions have been ineffective, or worse counterproductive. We use high-frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the simultaneity and endogeneity issues. We propose aVector AutoRegressive (VAR) framework estimated at several frequencies to better-measure the SMP impact and its persistence. Our results show that SMP interventions have been effective in reducing yields of government bonds for the countries under the program.