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Impact of the asset purchase programme on euro area government bond yields using market news

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  • De Santis, Roberto A.

Abstract

Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to identify the APP for the euro area, we rely upon Bloomberg news on euro area APP. The econometric results suggest that the impact of APP on euro area long-term sovereign yields is sizeable, albeit the programme was announced at a time of low fi?nancial distress. Most of the impact took place before the purchases took place with the vulnerable countries bene?fiting most. JEL Classification: E43, E52, E58, G14

Suggested Citation

  • De Santis, Roberto A., 2016. "Impact of the asset purchase programme on euro area government bond yields using market news," Working Paper Series 1939, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20161939
    Note: 185689
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    Keywords

    APP; quantitative easing; sovereign yields;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • 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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