Arbeitspapier
Tracing the impact of the ECB's asset purchase programme on the yield curve
We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by 95 bps. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases is found to have a significant impact on term premia.
- ISBN
-
978-92-899-3555-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2293
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy
Central Banks and Their Policies
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Term structure of interest rates
term premia
central bank asset purchases
non-standard monetary policy measures
European Central Bank
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Eser, Fabian
Lemke, Wolfgang
Nyholm, Ken
Radde, Sören
Vladu, Andreea L.
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- DOI
-
doi:10.2866/17353
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Eser, Fabian
- Lemke, Wolfgang
- Nyholm, Ken
- Radde, Sören
- Vladu, Andreea L.
- European Central Bank (ECB)
Entstanden
- 2019
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