The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012

Heather Gibson, Stephen Hall and George Tavlas

No 199, Working Papers from Bank of Greece

Abstract: We examine the impact of the ECB’s Securities Market Program (SMP) and the ECB’s two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are monthly and cover the period from 2004M01 through 2014M07. In contrast to previous studies, we use actual, confidential, intervention data. Our results indicate that the respective asset purchase programs reduced sovereign spreads and raised covered bond prices. The quantitative effects of the programs were modest in magnitude, but nevertheless significant. We also provide a simple theoretical model that explains why official asset purchases can reduce a country’s default-risk spreads.

Keywords: Monetary-policy effectiveness; ECB’s asset purchase programs; euro-area crisis (search for similar items in EconPapers)
JEL-codes: E43 E51 E52 E63 F33 F41 G01 G12 (search for similar items in EconPapers)
Pages: 33
Date: 2015-11
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The effectiveness of the ECB's asset purchase programs of 2009 to 2012 (2016)
Working Paper: The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012 (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bog:wpaper:199

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