Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News

24 Pages Posted: 24 Aug 2016

See all articles by Roberto A. De Santis

Roberto A. De Santis

European Central Bank (ECB) - Directorate General Economics

Date Written: August 24, 2016

Abstract

Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to identify the APP for the euro area, we rely upon Bloomberg news on euro area APP. The econometric results suggest that the impact of APP on euro area long-term sovereign yields is sizeable, albeit the programme was announced at a time of low financial distress. Most of the impact took place before the purchases took place with the vulnerable countries benefiting most.

Keywords: Quantitative easing, APP, Sovereign yields

JEL Classification: E43, E52, E58, G14

Suggested Citation

De Santis, Roberto A., Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News (August 24, 2016). ECB Working Paper No. 1939. Available at SSRN: https://ssrn.com/abstract=2828601

Roberto A. De Santis (Contact Author)

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

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

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