Global financial market impact of the announcement of the ECB's asset purchase programme
Georgios Georgiadis and
Johannes Gräb ()
Journal of Financial Stability, 2016, vol. 26, issue C, 257-265
We estimate the announcement effects of the ECB's asset purchase programme (APP) on the euro exchange rate, global equity prices and bond yields. We find that the APP announcement caused a broad-based depreciation of the euro by signalling that the ECB's future monetary policy stance will remain accommodative. At the same time, the APP announcement boosted equity prices around the world by supporting investor confidence and reducing the risk of deflation and persistent stagnation in the euro area. Exchange rates appreciated more strongly vis-à-vis the euro in response to APP-related news for countries which are more integrated with the rest of the world overall, which exhibit less bilateral trade and financial integration with the euro area, which are under a more flexible exchange rate regime, and which are perceived to be more risky. Finally, we do not find any evidence that the APP announcement led to an increase in portfolios flows to emerging market economies. Quite the opposite, the ECB's APP seems to have induced a re-balancing by global investors out of emerging into advanced economies’ financial markets.
Keywords: Asset purchase programme; Unconventional monetary policy; Spillovers; Event study regression (search for similar items in EconPapers)
JEL-codes: E52 E58 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (36) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:26:y:2016:i:c:p:257-265
Access Statistics for this article
Journal of Financial Stability is currently edited by I. Hasan, W. C. Hunter and G. G. Kaufman
More articles in Journal of Financial Stability from Elsevier
Bibliographic data for series maintained by Nithya Sathishkumar ().