Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154020
Authors: 
Eser, Fabian
Schwaab, Bernd
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1587
Abstract: 
We assess the yield impact of asset purchases within the ECB’s Securities Markets Programme in five euro area sovereign bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined purchases and control covariates. In addition to large and economically significant announcement effects, we find an average impact at the five year maturity per e1 bn of bond purchases of approximately -1 to -2 bps (Italy), -3 bps (Ireland), -4 to -6 bps (Spain), -6 to -9 bps (Portugal), and up to -17 to -21 bps (Greece). The impact depends on market size and a default risk signal, and is approximately -3 basis points at a five-year maturity for purchases of 1/1000 of the respective debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements occurring when the Eurosystem is active as a buyer. A dynamic specification points to both transitory and longer-lived effects from purchases.
Subjects: 
Central bank asset purchases
effectiveness of non-standard monetary policy measures
European Central Bank
Securities Markets Programme
JEL: 
C32
G12
Document Type: 
Working Paper

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