Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme

• 成果类型: Article
• 署名作者: Eser, Fabian; Schwaab, Bernd
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.06.003
• 发表日期: 2016
• 页码: 147-167
• 关键词: Central bank asset purchases; European central bank; Securities Markets Programme; Non-standard monetary policy measures; Yield impact

摘要

We assess the yield impact of asset purchases within the European Central Bank's (ECB) Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010-11. In addition to large announcement effects, we find an impact of approximately -3 basis points at the five-year maturity for purchases of 1/1000 of the outstanding debt. Bond yield volatility and tail risk are lower on intervention days for most SMP countries. A dynamic specification points to both transitory and long-run effects. Purchases improved liquidity conditions and reduced default-risk premia, while the signaling of future low interest rates did not play a role. (C) 2015 Elsevier B.V. All rights reserved.