Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs

Tinbergen Institute Discussion Paper 2021-109/III

71 Pages Posted: 5 Jan 2022 Last revised: 25 Oct 2023

See all articles by Terri van der Zwan

Terri van der Zwan

Erasmus University Rotterdam (EUR); Tinbergen Institute

Erik Kole

Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute; ERIM; Tinbergen Institute

Michel van der Wel

Erasmus University Rotterdam

Date Written: October 18, 2023

Abstract

Central banks resorted to asset purchase programs to replace conventional policy measures, which became ineffective after interest rates approached the effective lower bound. We investigate their effects on financial markets and focus on heterogeneous transmission using a Bayesian structural vector autoregression analysis. Since financial markets react directly to policy announcements, we base our identification scheme on market surprises at the announcement time. We find evidence of a stimulating effect on the economy, declining government bond yields, increasing stock prices, increasing value-growth spread and a reduction in stress in corporate and sovereign debt markets after an asset purchase shock. We disentangle the effect among industry sectors and EMU countries and find that the effect is heterogeneous, with financial stocks and the economy of Southern Euro area countries being the most positively affected.

Keywords: Unconventional monetary policy, financial markets, heterogeneity, structural vector autoregression

JEL Classification: E44, E52, E58, F37, G15

Suggested Citation

van der Zwan, Terri and Kole, Erik and van der Wel, Michel, Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs (October 18, 2023). Tinbergen Institute Discussion Paper 2021-109/III, Available at SSRN: https://ssrn.com/abstract=4000702 or http://dx.doi.org/10.2139/ssrn.4000702

Terri Van der Zwan (Contact Author)

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Erik Kole

Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 408 12 58 (Phone)

HOME PAGE: http://people.few.eur.nl/kole

ERIM

P.O. Box 1738
3000 DR Rotterdam
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

HOME PAGE: http://people.few.eur.nl/kole

Michel Van der Wel

Erasmus University Rotterdam ( email )

Burg. Oudlaan 50
Rotterdam, NL 3062 PA
Netherlands

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