The ECB's asset purchase programme: an early assessment

Johannes Breckenfelder, Fiorella De Fiore, Philippe Andrade, Peter Karadi and Oreste Tristani

No 1956, Working Paper Series from European Central Bank

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. JEL Classification: E44, E52, G12

Keywords: reanchoring inflation expectations; transmission of large-scale asset purchases; unconventional monetary policy (search for similar items in EconPapers)
Date: 2016-09
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
Note: 1125999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (146)

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