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Impact of the Asset Purchase Programme on euro area government bond yields using market news

Roberto A. De Santis

Economic Modelling, 2020, vol. 86, issue C, 192-209

Abstract: Assessing the impact on sovereign yields of the euro area Asset Purchase Programme (APP) is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. To identify the APP effect, we construct an index which computes the intensity of this discussion in Bloomberg. The econometric results, which are based on real time vintages, suggest that the so-called stock effect with purchases worth about 10% of GDP reduced the GDP-weighted 10-year euro area sovereign yield by 72 basis points, which is equivalent to effects estimated for US and UK programmes, and much larger than those suggested by event studies for the euro area.

Keywords: Quantitative easing; APP; Sovereign yields; Euro area (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G14 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:86:y:2020:i:c:p:192-209

DOI: 10.1016/j.econmod.2019.06.011

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