Advanced Search
MyIDEAS: Login to save this paper or follow this series

The ECB Unconventional Monetary Policies: Have They Lowered Market Borrowing Costs for Banks and Governments?

Contents:

Author Info

  • Urszula Szczerbowicz

Abstract

This paper evaluates the impact of all ECB unconventional monetary policies implemented between 2007 and 2012 on bank and government borrowing costs. We employ event-based regressions to measure the effect of each policy. The borrowing conditions for banks are represented by money market spreads and covered bond spreads while the sovereign bond spreads reflect government borrowing costs. The results show that sovereign bond purchasing programs (SMP, OMT) proved to be the most effective in lowering longer-term borrowing costs for both banks and governments with the largest impact in periphery euroarea countries. The strong impact in the euro-area periphery suggests that the central bank intervention in sovereign market is particularly effective when the sovereign risk is important. Furthermore, both covered bond purchase programs and 3-year loans to banks reduced bank refinancing costs.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cepii.fr/PDF_PUB/wp/2012/wp2012-36.pdf
Download Restriction: no

Bibliographic Info

Paper provided by CEPII research center in its series Working Papers with number 2012-36.

as in new window
Length:
Date of creation: Dec 2012
Date of revision:
Handle: RePEc:cii:cepidt:2012-36

Contact details of provider:
Postal: 113, rue de Grenelle, 75700 Paris SP07
Phone: 33 01 53 68 55 00
Fax: 33 01 53 68 55 01
Web page: http://www.cepii.fr
More information through EDIRC

Related research

Keywords: unconventional monetary policy; quantitative easing; credit easing; sovereign bond spreads; covered bond spreads; Euribor-OIS spread;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. John C. Williams & John B. Taylor, 2009. "A Black Swan in the Money Market," American Economic Journal: Macroeconomics, American Economic Association, American Economic Association, vol. 1(1), pages 58-83, January.
  2. Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2010. "Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7762, C.E.P.R. Discussion Papers.
  3. G. Peersman, 2011. "Macroeconomic Effects of Unconventional Monetary Policy in the Euro Area," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 11/734, Ghent University, Faculty of Economics and Business Administration.
  4. Matteo Falagiarda & Stefan Reitz, 2013. "Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy," Kiel Working Papers 1866, Kiel Institute for the World Economy.
  5. Javier Andres & J. David López-Salido & Edward Nelson, 2004. "Tobin's imperfect asset substitution in optimizing general equilibrium," Working Papers, Federal Reserve Bank of St. Louis 2004-003, Federal Reserve Bank of St. Louis.
  6. Michael Woodford & Vasco Curdia, 2010. "The Central Bank's Balance Sheet as an Instrument of Monetary Policy," 2010 Meeting Papers, Society for Economic Dynamics 136, Society for Economic Dynamics.
  7. Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 731, Bank of Italy, Economic Research and International Relations Area.
  8. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
  9. Allan H. Meltzer, 1995. "Monetary, Credit and (Other) Transmission Processes: A Monetarist Perspective," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 9(4), pages 49-72, Fall.
  10. Christiaan Pattipeilohy & Jan Willem van den End & Mostafa Tabbae & Jon Frost & Jakob de Haan, 2013. "Unconventional monetary policy of the ECB during the financial crisis: An assessment and new evidence," DNB Working Papers, Netherlands Central Bank, Research Department 381, Netherlands Central Bank, Research Department.
  11. Ghysels, Eric & Idier, Julien & Manganelli, Simone & Vergote, Olivier, 2014. "A high frequency assessment of the ECB securities markets programme," Working Paper Series, European Central Bank 1642, European Central Bank.
  12. Kazuo Ueda, 2011. "The Effectiveness of Non-traditional Monetary Policy Measures: The Case of the Bank of Japan," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-814, CIRJE, Faculty of Economics, University of Tokyo.
  13. Urszula Szczerbowicz, 2011. "Are Unconventional Monetary Policies Effective?," Working Papers CELEG, Dipartimento di Economia e Finanza, LUISS Guido Carli 1107, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  14. 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, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
  15. Gert Peersman, 2012. "Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound," 2012 Meeting Papers, Society for Economic Dynamics 400, Society for Economic Dynamics.
  16. Beirne, John & Dalitz, Lars & Ejsing, Jacob & Grothe, Magdalena & Manganelli, Simone & Monar, Fernando & Sahel, Benjamin & Sušec, Matjaž & Tapking, Jens & Vong, Tana, 2011. "The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets," Occasional Paper Series 122, European Central Bank.
  17. Jack Meaning & Feng Zhu, 2011. "The impact of recent central bank asset purchase programmes," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, December.
  18. James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 44, pages 3-46, 02.
  19. Gauti B. Eggertsson & Michael Woodford, 2003. "The Zero Bound on Interest Rates and Optimal Monetary Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(1), pages 139-235.
  20. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 35(1), pages 13-39, March.
  21. Celso Brunetti & Mario di Filippo & Jeffrey H. Harris, 2011. "Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(6), pages 2053-2083.
  22. Jean-Claude Trichet, 2009. "The ECB's Enhanced Credit Support," CESifo Working Paper Series 2833, CESifo Group Munich.
  23. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series, European Central Bank 1587, European Central Bank.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. G. Peersman, 2014. "The Effectiveness of Unconventional Monetary Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 14/875, Ghent University, Faculty of Economics and Business Administration.
  2. Richhild Moessner, 2014. "Effects of ECB balance sheet policy announcements on inflation expectations," DNB Working Papers, Netherlands Central Bank, Research Department 416, Netherlands Central Bank, Research Department.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cii:cepidt:2012-36. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.