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The macroeconomic impact of the ECB's expanded asset purchase programme (APP)

Author

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  • Gambetti, Luca
  • Musso, Alberto

Abstract

This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel. JEL Classification: C32, E44, E52, E58

Suggested Citation

  • Gambetti, Luca & Musso, Alberto, 2017. "The macroeconomic impact of the ECB's expanded asset purchase programme (APP)," Working Paper Series 2075, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20172075
    Note: 93259
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp.2075.en.pdf
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    References listed on IDEAS

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    1. repec:pal:imfecr:v:67:y:2019:i:2:d:10.1057_s41308-018-0071-7 is not listed on IDEAS
    2. Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
    3. repec:eee:phsmap:v:520:y:2019:i:c:p:232-249 is not listed on IDEAS
    4. Margherita Bottero & Camelia Minoiu & José-Luis Peydró & Andrea Polo & Andrea F. Presbitero & Enrico Sette, 2019. "Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data," Working Papers 1090, Barcelona Graduate School of Economics.
    5. repec:eee:finsta:v:43:y:2019:i:c:p:40-52 is not listed on IDEAS
    6. Stefano Neri & Stefano Siviero, 2018. "The Non-Standard Monetary Policy Measures of the ECB: Motivations, Effectiveness and Risks," Credit and Capital Markets, Credit and Capital Markets, vol. 51(4), pages 513-560.
    7. Lewis, Vivien & Roth, Markus, 2019. "The financial market effects of the ECB's asset purchase programs," Journal of Financial Stability, Elsevier, vol. 43(C), pages 40-52.

    More about this item

    Keywords

    asset purchase programme; euro area; quantitative easing; time-varying VAR;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • 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

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