A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243

Posted: 25 May 2018

See all articles by Olivier Vergote

Olivier Vergote

European Central Bank (ECB)

Eric Ghysels

University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Julien Idier

Banque de France - Centre de Recherche; European Central Bank (ECB)

Simone Manganelli

European Central Bank (ECB)

Multiple version iconThere are 3 versions of this paper

Date Written: January 01, 2017

Abstract

Policy impact studies often suffer from endogeneity problems. Consider the case of the European Central Bank (ECB) Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downward the correlation between yields and the amounts of bonds purchased. Simple regressions of daily changes in yields on quantities often give insignificant or even positive coefficients and therefore suggest that Securities Markets Programme (SMP) interventions have been ineffective, or worse counterproductive. We use high-frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the simultaneity and endogeneity issues. We propose aVector AutoRegressive (VAR) framework estimated at several frequencies to better measure the SMP impact and its persistence. Our results show that SMP interventions have been effective in reducing yields of government bonds for the countries under the program.

JEL Classification: E52, E44, G12, C58

Suggested Citation

Vergote, Olivier and Ghysels, Eric and Idier, Julien and Manganelli, Simone, A High-Frequency Assessment of the ECB Securities Markets Programme (January 01, 2017). Journal of the European Economic Association, January 2017, 15(1), 218-243. Available at SSRN: https://ssrn.com/abstract=3178572

Olivier Vergote (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Eric Ghysels

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)

HOME PAGE: http://www.unc.edu/~eghysels/

Julien Idier

Banque de France - Centre de Recherche ( email )

31 rue Croix des Petits Champs
75049 Paris Cedex 01
France

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Simone Manganelli

European Central Bank (ECB) ( email )

Kaiserstrasse 29
Frankfurt am Main, 60311
Germany

HOME PAGE: http://www.simonemanganelli.org

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