Financial Markets Effects of ECB Unconventional Monetary Policy Announcements

30 Pages Posted: 17 Apr 2018

Date Written: February 27, 2018

Abstract

This paper provides empirical evidence about the announcement effects of the ECB unconventional monetary policies carried out during the period September 2014 - July 2017. The variables considered are selected looking at the various transmission channels through which unconventional measures operate. We find that monetary policy news had significant effects on the exchange rate and sovereign long term yields, especially in those countries that were most severely hit by the crisis. Unlike previous studies, we look at the impact of announcements over different sub-periods in order to identify time-varying effects possibly due to different market conditions, policy instruments and communication strategies. We find that the strongest effects on the exchange rates and on sovereign bonds occurred in the initial phase of the Asset Purchase Programme; over the more recent period a statistically significant rise of inflation expectations was instead detected.

Keywords: monetary policy announcements, event study, financial markets, unconventional monetary policy

JEL Classification: E44, E52, E58, E65, G14

Suggested Citation

Bulligan, Guido and Delle Monache, Davide, Financial Markets Effects of ECB Unconventional Monetary Policy Announcements (February 27, 2018). Bank of Italy Occasional Paper No. 424, Available at SSRN: https://ssrn.com/abstract=3160801 or http://dx.doi.org/10.2139/ssrn.3160801

Guido Bulligan

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Davide Delle Monache (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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