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Effects of ECB balance sheet policy announcements on inflation expectations

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  • Richhild Moessner

Abstract

We investigate whether ECB balance sheet policy announcements in the wake of the global financial crisis have affected the ECB's monetary policy credibility as measured by long-term inflation expectations, by looking at their effects on euro area inflation swap rates of maturities up to 10 years. We consider asset purchase programmes and long-term refinancing operations with maturities above 6 months. We find that these announcements only led to a slight increase in long-term inflation expectations. We therefore find no strong evidence to suggest that ECB balance sheet policy announcements have led to much higher long-term inflation expectations, suggesting that the monetary policy credibility of the ECB has not been harmed by these policies.

Suggested Citation

  • Richhild Moessner, 2015. "Effects of ECB balance sheet policy announcements on inflation expectations," Applied Economics Letters, Taylor & Francis Journals, vol. 22(6), pages 483-487, April.
    • Handle: RePEc:taf:apeclt:v:22:y:2015:i:6:p:483-487
    DOI: 10.1080/13504851.2014.950791
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    Cited by:

    1. Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018. "Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets," Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
    2. Roman Horvath & Klara Voslarova, 2017. "International spillovers of ECB’s unconventional monetary policy: the effect on Central Europe," Applied Economics, Taylor & Francis Journals, vol. 49(24), pages 2352-2364, May.
    3. Ambler, Steve & Rumler, Fabio, 2019. "The effectiveness of unconventional monetary policy announcements in the euro area: An event and econometric study," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 48-61.
    4. Jan Willem End & Christiaan Pattipeilohy, 2017. "Central Bank Balance Sheet Policies and Inflation Expectations," Open Economies Review, Springer, vol. 28(3), pages 499-522, July.
    5. Stephanie Titzck & Jan Willem van den End, 2021. "The impact of size, composition and duration of the central bank balance sheet on inflation expectations and market prices," The European Journal of Finance, Taylor & Francis Journals, vol. 27(12), pages 1186-1209, August.
    6. Aßhoff, Sina & Belke, Ansgar & Osowski, Thomas, 2021. "Unconventional monetary policy and inflation expectations in the Euro area," Economic Modelling, Elsevier, vol. 102(C).
    7. Jan Willem End & Christiaan Pattipeilohy, 2017. "Central Bank Balance Sheet Policies and Inflation Expectations," Open Economies Review, Springer, vol. 28(3), pages 499-522, July.
    8. Gan‐Ochir Doojav & Davaasukh Damdinjav, 2023. "The macroeconomic effects of unconventional monetary policies in a commodity‐exporting economy: Evidence from Mongolia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4627-4654, October.

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