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


  • Doran, David

    (Central Bank of Ireland)

  • Dunne, Peter

    (Central Bank of Ireland)

  • Monks, Allen

    (Banque de France)

  • O'Reilly, Gerard

    (Central Bank of Ireland)


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.

Suggested Citation

  • Doran, David & Dunne, Peter & Monks, Allen & O'Reilly, Gerard, 2013. "Was the Securities Markets Programme Effective in Stabilizing Irish Sovereign Yields?," Research Technical Papers 07/RT/13, Central Bank of Ireland.
  • Handle: RePEc:cbi:wpaper:07/rt/13

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    References listed on IDEAS

    1. repec:oup:jeurec:v:15:y:2017:i:1:p:218-243. is not listed on IDEAS
    2. 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, vol. 44, pages 3-46, February.
    3. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
    4. Han Chen & Vasco Cúrdia & Andrea Ferrero, 2012. "The Macroeconomic Effects of Large‐scale Asset Purchase Programmes," Economic Journal, Royal Economic Society, vol. 122(564), pages 289-315, November.
    5. 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 316-347, November.
    6. 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 518-529, October.
    7. Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
    8. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-595.
    9. Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
    10. 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.
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    Cited by:

    1. Cycon, Lisa & Koetter, Michael, 2015. "Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112831, Verein für Socialpolitik / German Economic Association.
    2. Petra Gerlach-Kristen, 2015. "The impact of ECB crisis measures on euro-area CDS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 149-168, May.
    3. Trebesch, Christoph & Zettelmeyer, Jeromin, 2015. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112809, Verein für Socialpolitik / German Economic Association.
    4. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016. "The effectiveness of the ECB's asset purchase programs of 2009 to 2012," Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 45-57.
    5. W. Arrata & B. Nguyen, 2017. "Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program," Working papers 623, Banque de France.
    6. Wedow, Michael & Koetter, Michael & Podlich, Natalia, 2017. "Inside asset purchase programs: the effects of unconventional policy on banking competition," Working Paper Series 2017, European Central Bank.
    7. Sven Steinkamp & Frank Westermann, 2014. "The role of creditor seniority in Europe's sovereign debt crisis," Economic Policy, CEPR;CES;MSH, vol. 29(79), pages 495-552, July.
    8. repec:eee:jimfin:v:75:y:2017:i:c:p:14-31 is not listed on IDEAS

    More about this item


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

    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
    • E53 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Deposit Insurance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading


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