The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012

Heather Gibson, Stephen Hall and George Tavlas

No 15/24, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: We examine the impact of the ECB’s Securities Market Program (SMP) and the ECB’s two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are monthly and cover the period from 2004M01 through 2014M07. In contrast to previous studies, we use actual, confidential, intervention data. Our results indicate that the respective asset purchase programs reduced sovereign spreads and raised covered bond prices. The quantitative effects of the programs were modest in magnitude, but nevertheless significant. We also provide a simple theoretical model that explains why official asset purchases can reduce a country’s default-risk spreads.

Keywords: Monetary-policy effectiveness; ECB’s asset purchase programs; euro-area crisis. (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 E63 F33 F41 G01 G12 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.le.ac.uk/economics/research/RePEc/lec/leecon/dp15-24.pdf (application/pdf)

Related works:
Journal Article: The effectiveness of the ECB's asset purchase programs of 2009 to 2012 (2016)
Working Paper: The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012 (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:lec:leecon:15/24

Ordering information: This working paper can be ordered from
https://www2.le.ac.u ... -1/discussion-papers

Access Statistics for this paper

More papers in Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester School of Business, University of Leicester, University Road. Leicester. LE1 7RH. UK Provider-Homepage: https://le.ac.uk/school-of-business. Contact information at EDIRC.
Bibliographic data for series maintained by Abbie Sleath ().