The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

62 Pages Posted: 11 Mar 2021

Date Written: March 2021


This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are inferred from public expectations released in quantitative surveys just before monetary policy announcements. The results consistently show that innovations to APP have expansionary effects on both output and prices: an immediate increase in asset purchases of one percent of GDP leads to a maximum impact in industrial production and consumer prices by 0.15 percent and 0.06 percent, respectively. Overall, APP shocks account for less than a fifth of the long-run macroeconomic variability. Finally, our counterfactual analyses indicate that APP and its successive recalibrations were central in supporting inflation. For example, we find inflation would have fallen into negative territory without December 2015 and March 2016 APP recalibrations.

Keywords: Monetary Policy, Asset Purchase Programme, Proxy-SVAR, Eurosystem, ECB, QE

JEL Classification: E31, E32, E44, E52

Suggested Citation

Lhuissier, Stéphane and Nguyen, Benoît, The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification (March 2021). Banque de France Working Paper No. 806, Available at SSRN: or

Stéphane Lhuissier (Contact Author)

Banque de France ( email )


Benoît Nguyen

Banque de France ( email )


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