Assessing Asset Purchases within the ECB’s Securities Markets Programme

38 Pages Posted: 13 Sep 2013

See all articles by Fabian Eser

Fabian Eser

European Central Bank (ECB)

Bernd Schwaab

European Central Bank (ECB) - Directorate General Research

Date Written: August 28, 2013

Abstract

We assess the yield impact of asset purchases within the ECB’s Securities Markets Programme in five euro area sovereign bond markets during 2010-11. Identification is non-trivial and based on time series panel data regression on predetermined purchases and control covariates. In addition to large and economically significant announcement effects, we find an average impact at the five year maturity per e1 bn of bond purchases of approximately -1 to -2 bps (Italy), -3 bps (Ireland), -4 to -6 bps (Spain), -6 to -9 bps (Portugal), and up to -17 to -21 bps (Greece). The impact depends on market size and a default risk signal, and is approximately -3 basis points at a five-year maturity for purchases of 1/1000 of the respective debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements occurring when the Eurosystem is active as a buyer. A dynamic specification points to both transitory and longer-lived effects from purchases.

Keywords: Central bank asset purchases, European Central Bank, Securities Markets Programme, effectiveness of non-standard monetary policy measures

JEL Classification: C32, G12

Suggested Citation

Eser, Fabian and Schwaab, Bernd, Assessing Asset Purchases within the ECB’s Securities Markets Programme (August 28, 2013). ECB Working Paper No. 1587. Available at SSRN: https://ssrn.com/abstract=2317199

Fabian Eser (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Bernd Schwaab

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

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