Heterogeneous macro and financial effects of ECB asset purchase programs

Terri van der Zwan, Erik Kole () and Michel van der Wel

Journal of International Money and Finance, 2024, vol. 143, issue C

Abstract: Like other central banks, the ECB resorted to asset purchase programs (APPs) to replace conventional policy measures. We examine their impact on the Euro area with a focus on the heterogeneity among its constituents and across financial markets. Our analysis combines a Bayesian structural VAR with an identification scheme based on market surprises at the announcement time, effectively capturing structural dynamics. At the Euro area level, APPs stimulate the economy, lower government bond yields, elevate stock prices, and reduce corporate and sovereign stress. The impact shows heterogeneity in the stock market with a widened value-growth spread in stocks and varying sector impacts, particularly favoring financial stocks, and across countries with stronger effects on southern Euro area countries. Our results show strong spillover effects between countries, indicating challenges in the precise targeting of APPs.

Keywords: Unconventional monetary policy; Financial markets; Heterogeneity; Structural vector autoregression (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 F37 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000603

DOI: 10.1016/j.jimonfin.2024.103073

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