The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP)

43 Pages Posted: 14 Jun 2017

See all articles by Luca Gambetti

Luca Gambetti

Universitat Autonoma de Barcelona

Alberto Musso

European Central Bank (ECB)

Date Written: June 13, 2017


This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel.

Keywords: Asset Purchase Programme, Quantitative Easing, Euro Area, Time-Varying VAR

JEL Classification: C32, E44, E52, E58

Suggested Citation

Gambetti, Luca and Musso, Alberto, The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP) (June 13, 2017). ECB Working Paper No. 2075, Available at SSRN:

Luca Gambetti (Contact Author)

Universitat Autonoma de Barcelona ( email )

Plaça Cívica
Cerdañola del Valles
Barcelona, Barcelona 08193

Alberto Musso

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314

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