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Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?

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Author Info

  • Doran, David

    (Central Bank of Ireland)

  • Dunne, Peter

    (Central Bank of Ireland)

  • Monks, Allen

    (Banque de France)

  • O'Reilly, Gerard

    (Central Bank of Ireland)

Abstract

We examine whether the ECB’s Securities Markets Programme (SMP) was effective in reversing or stabilising adverse movements in Irish sovereign yields. Our initial analysis examines whether daily yield movements responded significantly to interventions. At the daily frequency we find no significant effects despite dealing with endogeneity and omitted variable bias. In contrast, making use of the exact timing of interventions and movements in high-frequency inter-dealer quotes, we find clear evidence that SMP stabilised yields on average from the moment of the initial intervention until the end of trading on intervention days. However, adverse pre-intervention movements were significant and these were seldom reversed by intervention effects.

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Bibliographic Info

Paper provided by Central Bank of Ireland in its series Research Technical Papers with number 07/RT/13.

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Date of creation: Sep 2013
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Handle: RePEc:cbi:wpaper:07/rt/13

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Related research

Keywords: Monetary Policy; Bond Market Interventions; Securities Markets Programme.;

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References

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  1. James D. Hamilton & Jing Cynthia Wu, 2011. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers 16956, National Bureau of Economic Research, Inc.
  2. Han Chen & Vasco Cúrdia & Andrea Ferrero, 2011. "The macroeconomic effects of large-scale asset purchase programs," Staff Reports 527, Federal Reserve Bank of New York.
  3. George Kapetanios & Haroon Mumtaz & Ibrahim Stevens & Konstantinos Theodoridis, 2012. "Assessing the Economy‐wide Effects of Quantitative Easing," Economic Journal, Royal Economic Society, vol. 122(564), pages F316-F347, November.
  4. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  5. Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
  6. Ghysels, Eric & Idier, Julien & Manganelli, Simone & Vergote, Olivier, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.
  7. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-95.
  8. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
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