Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme

被引：150

作者：

Eser, Fabian ^{[1
]}

Schwaab, Bernd ^{[1
]}

机构：

[1] European Cent Bank, Financial Res, D-60314 Frankfurt, Germany

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 119卷 / 01期

关键词：

Central bank asset purchases; European Central Bank; Securities Markets Programme; Non-standard monetary policy measures; Yield impact; INTEREST-RATES; SOVEREIGN; DEFAULT; MODELS; NUMBER; TAIL;

D O I：

10.1016/j.jfineco.2015.06.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We assess the yield impact of asset purchases within the European Central Bank's (ECB) Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010-11. In addition to large announcement effects, we find an impact of approximately -3 basis points at the five-year maturity for purchases of 1/1000 of the outstanding debt. Bond yield volatility and tail risk are lower on intervention days for most SMP countries. A dynamic specification points to both transitory and long-run effects. Purchases improved liquidity conditions and reduced default-risk premia, while the signaling of future low interest rates did not play a role. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：147 / 167

页数：21

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