Quantitative Easing in the Euro Area - An Event Study Approach

Florian Urbschat and Sebasitan Watzka

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: We examine the effects of the QE programme started by the ECB in 2015. Studying the short-term reaction of bond markets, we try to quantify different asset price channels such as the portfolio rebalance channel by running event regressions for several Euro Area countries. Our analysis suggests that the ECB’s policy had strong and desired effects on bond markets at the very beginning, but less so subsequently. Possible explanations are the increasingly burdensome institutional set-up of the APP.

JEL-codes: E43 E44 E52 E58 G14 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168135

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