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The Effectiveness of The ECB's Asset Purchase Programs Of 2009 To 2012
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Heather D. Gibson
(Bank of Greece)
Stephen G. Hall
(University of Leicester and Bank of Greece)
George S. Tavlas
() (Bank of Greece and University of Leicester)
Stephen George Hall
We examine the impact of the ECB's Securities Market Program (SMP) and the ECB's two Covered Bond Purchase Programs (CBPPs) on sovereign bond spreads and covered-bond prices, respectively, for five euro-area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are monthly and cover the period from 2004M01 through 2014M07. In contrast to previous studies, we use actual, confidential, intervention data. Our results indicate that the respective asset purchase programs reduced sovereign spreads and raised covered bond prices. The quantitative effects of the programs were modest in magnitude, but nevertheless significant. We also provide a simple theoretical model that explains why official asset purchases can reduce a country's default-risk spreads.
Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of The ECB's Asset Purchase Programs Of 2009 To 2012," Working Papers 199, Bank of Greece.
Handle: RePEc:bog:wpaper:199
File URL: http://www.bankofgreece.gr/BogEkdoseis/Paper2015199.pdf
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Monetary-policy effectiveness; ECB's asset purchase programs; euro-area crisis;
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
G01 - Financial Economics - - General - - - Financial Crises
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:
NEP-MAC-2015-11-15 (Macroeconomics)
NEP-MON-2015-11-15 (Monetary Economics)
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