Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154389
Authors: 
Andrade, Philippe
Breckenfelder, Johannes
De Fiore, Fiorella
Karadi, Peter
Tristani, Oreste
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1956
Abstract: 
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.
Subjects: 
reanchoring inflation expectations
transmission of large-scale asset purchases
unconventional monetary policy
JEL: 
E44
E52
G12
Document Type: 
Working Paper

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