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Quantitative Easing in the Euro Area - An Event Study Approach

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  • Urbschat, Florian
  • Watzka, Sebasitan

Abstract

We examine the effects of the QE programme started by the ECB in 2015. Studying the short-term reaction of bond markets, we try to quantify different asset price channels such as the portfolio rebalance channel by running event regressions for several Euro Area countries. Our analysis suggests that the ECB’s policy had strong and desired effects on bond markets at the very beginning, but less so subsequently. Possible explanations are the increasingly burdensome institutional set-up of the APP.

Suggested Citation

  • Urbschat, Florian & Watzka, Sebasitan, 2017. "Quantitative Easing in the Euro Area - An Event Study Approach," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168135, Verein für Socialpolitik / German Economic Association.
    • Handle: RePEc:zbw:vfsc17:168135
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    References listed on IDEAS

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    Cited by:

    1. Zhou, Siwen, 2019. "Assessing the Macroeconomic Impact of the ECB’s Asset Purchase Programme in a Dynamic Nelson–Siegel Modelling Framework," MPRA Paper 92530, University Library of Munich, Germany.
    2. Larkin, John & Anderson, PJ & Furlong, Sean, 2019. "The Irish Government Bond Market and Quantitative Easing," Quarterly Bulletin Articles, Central Bank of Ireland, pages 78-100, April.
    3. Gunther Tichy, 2019. "Das vernachlässigte Massensparen. Die wirtschaftspolitischen Folgen zunehmender Intermediation," WIFO Monatsberichte (monthly reports), WIFO, vol. 92(8), pages 583-597, August.
    4. Belke, Ansgar & Gros, Daniel, 2021. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    5. Belke, Ansgar & Gros, Daniel, 2019. "QE in the euro area: Has the PSPP benefited peripheral bonds?," Ruhr Economic Papers 803, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Cawley, Cormac & Finnegan, Marie, 2019. "Transmission channels of central bank asset purchases in the Irish economy," MPRA Paper 96547, University Library of Munich, Germany.
    7. Lin, Mucai & Niu, Linlin, 2021. "Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve," Journal of International Money and Finance, Elsevier, vol. 111(C).
    8. Cormac Cawley & Marie Finnegan, 2019. "Transmission Channels of Central Bank Asset Purchases in the Irish Economy," Economies, MDPI, vol. 7(4), pages 1-25, September.
    9. Jan Willem van den End, 2019. "Effects of QE on sovereign bond spreads through the safe asset channel," DNB Working Papers 647, Netherlands Central Bank, Research Department.
    10. Ralf Fendel & Frederik Neugebauer, 2018. "Country-Specific Euro Area Government Bond Yield Reactions to ECB’s Non-Standard Monetary Policy Announcements," WHU Working Paper Series - Economics Group 18-02, WHU - Otto Beisheim School of Management.

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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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