The financial market effects of the ECB's asset purchase programs

Vivien Lewis and Markus Roth ()

No 23/2017, Discussion Papers from Deutsche Bundesbank

Abstract: The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector autoregression analysis, we find both in the euro area and in Germany a positive effect on output, while prices do not respond significantly. Asset purchases reduce financial stress, but this beneficial effect is overturned in the medium run. In Germany, implicit firm default rates rise, while loan write-offs by banks decrease. This could point to an avoidance of balance sheet repair in the financial sector.

Keywords: asset purchase programs; balance sheet; monetary policy; central bank; shock identification; VAR (search for similar items in EconPapers)
JEL-codes: C32 E44 E52 E58 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The financial market effects of the ECB's asset purchase programs (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:232017

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