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Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification

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  • Stéphane Lhuissier
  • Benoît Nguyen

Abstract

We propose a novel instrument for identifying central bank asset purchase shocks in a proxy‐VAR. Our instrument exploits the deviations between asset purchase announcements and expectations inferred from quantitative surveys. Using euro area data, we find a positive impact of purchases on macroeconomic variables with high posterior probability. An asset purchase shock of 1% of GDP leads to median impacts on output and prices of 0.12% and 0.07%, respectively. The effects are three times as small as those in the US economy. Finally, we show that our instrument is stronger than high‐frequency instruments, both in terms of statistical strength and alignment with narrative evidence.

Suggested Citation

  • Stéphane Lhuissier & Benoît Nguyen, 2025. "Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(7), pages 846-861, November.
    • Handle: RePEc:wly:japmet:v:40:y:2025:i:7:p:846-861
    DOI: 10.1002/jae.70011
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    References listed on IDEAS

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    1. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
    2. Michele Lenza & Giorgio E. Primiceri, 2020. "How to Estimate a VAR after March 2020," NBER Working Papers 27771, National Bureau of Economic Research, Inc.
    3. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, Centre for Economic Policy Research.
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