Arbeitspapier
Impact of the asset purchase programme on euro area government bond yields using market news
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 benefiting most.
- ISBN
-
978-92-899-2187-9
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1939
- Classification
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
APP
quantitative easing
sovereign yields
- Event
-
Geistige Schöpfung
- (who)
-
De Santis, Roberto
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2016
- DOI
-
doi:10.2866/832637
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- De Santis, Roberto
- European Central Bank (ECB)
Time of origin
- 2016
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