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

Roberto De Santis ()

No 1939, Working Paper Series from European Central Bank

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

Keywords: APP; quantitative easing; sovereign yields (search for similar items in EconPapers)
Date: 2016-07
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mac
Note: 185689
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Citations: View citations in EconPapers (59)

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Journal Article: Impact of the Asset Purchase Programme on euro area government bond yields using market news (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20161939

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