Arbeitspapier
Heterogeneous macro and financial effects of ECB asset purchase programs
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. TI 2021-109/III
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Monetary Policy
Central Banks and Their Policies
International Finance Forecasting and Simulation: Models and Applications
International Financial Markets
- Thema
-
Unconventional monetary policy
financial markets
heterogeneity
structural vector autoregression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
van der Zwan, Terri
Kole, Erik
van der Wel, Michel
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- van der Zwan, Terri
- Kole, Erik
- van der Wel, Michel
- Tinbergen Institute
Entstanden
- 2021
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