The ECB's Asset Purchase Programme: An Early Assessment

By P. Andrade, J. Breckenfelder, F. D. Fiore, P. Karadi, O. Tristani. Social Science Research Network, 2016

236 citations recorded by the source corpus.

This paper analyses the effects of the European Central Bank's expanded asset purchase programme (APP) on yields and on the macroeconomy, and sheds some light on its transmission channels. It shows, first, that the January 2015 announcement of the programme has significantly and persistently reduced sovereign yields on long-term bonds and raised the share prices of banks that held more sovereign bonds in their portfolios. This evidence is consistent with versions of the portfolio rebalancing channel acting through the removal of duration risk and the relaxation of leverage constraints for financial intermediaries. It then presents a stylised macroeconomic model that incorporates the aforementioned transmission channels. The model suggests that the macroeconomic impact of the programme can be expected to be sizable. JEL Classification: E44, E52, G12

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9abe1ffeaeb5a9ee6058200e5ff2f535c6952816

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Citations in the corpus

A capital structure channel of monetary policy (2018, unknown): “(2018) show that sovereign bond yields decline following LSAPs, echoing the results in other studies investigating the effects of portfolio rebalancing on asset prices (Altavilla, Carboni, and Motto, 2016; Andrade et al., 2016).”
A Tale of Two Decades: The Ecb's Monetary Policy at 20 (2019, background): “” 211 Andrade et al. (2016) also document how the January 2015 announcement of the APP has significantly and persistently reduced sovereign yields on long-term bonds and raised the share prices of banks holding more sovereign bonds in their portfolios.”
Necessity As the Mother of Invention: Monetary Policy after the Crisis (2017, background): “Andrade et al. (2016) find that the announcement of the ECB’s purchases program reduced sovereign yields on long-term bonds while also raising share prices of banks that held more sovereign bonds in their portfolio.”
Measuring euro area monetary policy (2019, unknown): “Andrade et al. (2016), using a shorter sample, also nd persistemt e ects of QE in the euro area.”