Announcement and implementation effects of central bank asset purchases

Marco Bernardini and Antonio Conti ()

No 1435, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: What is the overall impact of announcement and implementation effects of asset purchases on financial conditions? Existing research lacks a unified approach for answering this question. We fill this gap by estimating a VAR model based on two pillars: a unique daily dataset covering ECB's asset purchases over the period 2014-2021 and a novel identification strategy combining survey-based external instruments and narrative sign restrictions. The findings underscore the relevance of both purchase announcements and actual purchases in influencing bond yields and stock prices. Neglecting how purchases are actually implemented may severely distort the assessment of their effectiveness.

Keywords: monetary policy; asset purchases; stock effects; and flow effects; high-frequency; VAR. (search for similar items in EconPapers)
JEL-codes: C32 C54 E44 E52 E58 (search for similar items in EconPapers)
Date: 2023-12
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1435_23

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