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The effects of the ECB’s expanded asset purchase programme

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  • Gambetti, Luca
  • Musso, Alberto

Abstract

This paper provides empirical evidence on the financial and macroeconomic impact of the news associated to the announcement launching the ECB’s expanded asset purchase programme (APP). We proxy the APP announcement shock with an announcement variable derived from the institutional features of the APP and survey-based evidence. The variable is used in a time-varying coefficient VAR model with stochastic volatility to estimate the effects of the announcement shock. The evidence suggests that this shock had a significant upward effect on both real economic activity and HICP inflation in the euro area. The response of long-term interest rates gave rise to a flattening of the yield curve in the short term, followed by a steepening in the medium term. Several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel and the credit channel.

Suggested Citation

  • Gambetti, Luca & Musso, Alberto, 2020. "The effects of the ECB’s expanded asset purchase programme," European Economic Review, Elsevier, vol. 130(C).
    • Handle: RePEc:eee:eecrev:v:130:y:2020:i:c:s0014292120302038
    DOI: 10.1016/j.euroecorev.2020.103573
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    References listed on IDEAS

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    Cited by:

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    3. Luigi Infante & Francesca Lilla & Francesco Vercelli, 2023. "The effects of the pandemic on households' financial savings: a Bayesian structural VAR analysis," Temi di discussione (Economic working papers) 1421, Bank of Italy, Economic Research and International Relations Area.
    4. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.

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    More about this item

    Keywords

    Asset Purchase Programme; Quantitative Easing; Euro Area; ECB; Time-varying VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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