Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/248791 
Year of Publication: 
2021
Series/Report no.: 
Tinbergen Institute Discussion Paper No. TI 2021-109/III
Publisher: 
Tinbergen Institute, Amsterdam and Rotterdam
Abstract: 
Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the zero lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector autoregression analysis. Since financial markets react directly to policy announcements, we base our identification scheme on market surprises at the announcement time. We find evidence of a stimulating effect on the economy, declining government bond yields, increasing stock prices, increasing value-growth spread and a reduction in stress in corporate and sovereign debt markets after an asset purchase shock. We disentangle the effect among industry sectors and EMU countries and find that the effect is heterogeneous, with financial stocks and the economy of Southern European countries being the most positively affected.
Subjects: 
Unconventional monetary policy
financial markets
heterogeneity
structural vector autoregression
JEL: 
E44
E52
E58
F37
G15
Document Type: 
Working Paper

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