Download or read book International Capital Flows at the Security Level Evidence from the ECB s Asset Purchase Programme written by Katharina Bergant and published by International Monetary Fund. This book was released on 2020-02-28 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyse euro area investors' portfolio rebalancing during the ECB's Asset Purchase Programme at the security level. Our empirical analysis shows that euro area investors (in particular investment funds and households) actively rebalanced away from securities targeted under the Public Sector Purchase Programme and other euro-denominated debt securities, towards foreign debt instruments, including `closest substitutes', i.e. certain sovereign debt securities issued by non-euro area advanced countries. This rebalancing was particularly strong during the first six quarters of the programme. Our analysis also reveals marked differences across sectors as well as country groups within the euro area, suggesting that quantitative easing has induced heterogeneous portfolio shifts.

Download or read book Tracing the Impact of the ECB s Asset Purchase Programme on the Yield Curve written by Fabian Eser and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by 95 bps. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases is found to have a significant impact on term premia.

Download or read book The ECB s Asset Purchase Programmes written by and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In response to the unprecedented shock brought by the COVID-19 pandemic, the European Central Bank (ECB) has deployed a massive package of monetary policy stimulus to safeguard the monetary policy transmission mechanism and keep the euro area economy afloat. As part of this package, the ECB has stepped up its asset purchases, including with the introduction of the new pandemic emergency purchase programme (PEPP) with an envelope of EUR 1.35 trillion by June 2021. Over the years, the impact and the side effects of the non-standard asset purchase programmes have been widely debated. Should they remain as part of the ECB's toolkit in the future, considering that inflation is expected to stay low and that interest rates are in negative territory? Six papers were prepared for the ECON Committee by the Monetary Expert Panel, presenting empirical evidence and discussing future perspectives of the ECB's asset purchase programmes. This publication is prepared by Policy Department for Economic, Scientific and Quality of Life Policies for the Committee on Economic and Monetary Affairs (ECON), ahead of the Monetary Dialogue with ECB President Lagarde on 28 September 2020.

Download or read book Asset Purchase Programmes and Financial Markets written by and published by . This book was released on 2015 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the effects on asset prices of the ECB asset purchase programme (APP) announced in January 2015 and assess its main transmission channels. We do so by first extending a term structure model with bond supply effects to account for assets with different types of risk premia. We then derive model-based predictions for cross-asset price movements associated with the transmission channels identified in the model. We finally validate empirically these predictions by means of an event-study methodology, reaching the following conclusions. The impact of the APP on asset prices is sizeable albeit the programme was announced at a time of low financial distress. This may appear puzzling in light of existing literature that finds a large impact of asset purchases only in periods of high financial distress. Consistent with the model, we explain this apparent puzzle by showing how the low financial distress, while indeed weakening certain transmission channels, has reinforced other channels because of its interplay with the asset composition of the programme. Targeting assets at long maturity and spanning the investment-grade space have supported the duration and the credit channels. At the same time, the low degree of financial stress prevailing at announcement of the programme, while weakening the local supply channel, has facilitated spill-overs to non-targeted assets.

Download or read book The ECB s Asset Purchase Programme written by Philippe Andrade and published by . This book was released on 2016 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the effects of the European Central Bank's expanded asset purchase programme (APP) on yields and on the macroeconomy, and sheds some light on its transmission channels. It shows, first, that the January 2015 announcement of the programme has significantly and persistently reduced sovereign yields on long-term bonds and raised the share prices of banks that held more sovereign bonds in their portfolios. This evidence is consistent with versions of the portfolio rebalancing channel acting through the removal of duration risk and the relaxation of leverage constraints for financial intermediaries. It then presents a stylised macroeconomic model that incorporates the aforementioned transmission channels. The model suggests that the macroeconomic impact of the programme can be expected to be sizable.

Download or read book The Impact of the ECB s Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area written by and published by . This book was released on 2015 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book European Central Bank Tools and Policy Actions B written by Chase P. Ross and published by . This book was released on 2016 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Beginning in August 2007, the European Central Bank (ECB) used standard and non-standard monetary policies as the global financial markets progressed from initial turmoil to a widespread sovereign debt crisis. This case describes the key features of the ECB's asset purchase programs throughout the Global Financial Crisis and subsequent European sovereign debt crisis. These programs include the Covered Bond Purchase Programs (CBPP1, CBPP2, CBPP3), Securities Markets Program (SMP), Outright Monetary Transactions (OMT), Asset-backed Securities Purchase Program (ABSPP) and the Public Sector Purchase Program (PSPP).In combating the crises, the ECB designed various innovative programs which it successively employed as the crises progressed. While some programs proved highly effective, others were less so. A major program, the OMT, was challenged in court and ultimately found to be within the ECB's legal operating framework.

Download or read book Theory Evidence and Risks of the ECB s Asset Purchase Programme written by and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In response to the COVID-19 crisis, the ECB has relaunched a massive asset purchase programme within its combined-arms monetary strategy. This paper presents and discusses the theory and the evidence of the central bank's asset purchases, mainly in the euro area. It analyses the role of asset purchase programmes in the ECB's toolkit and the potential associated risks, focusing specifically on the problems of the programmes' unwinding. Finally, the paper offers some possible alternatives to the asset purchase programmes. This document was provided by Policy Department A at the request of the Committee on Economic and Monetary Affairs (ECON).

Download or read book The ECB s Asset Purchase Programmes written by and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We summarise the empirical evidence on effects of asset purchases in the euro area, including the PEPP programme launched in response to the COVID-19 crisis. We conclude that QE is particularly effective during times of high financial stress, i.e. at the peak of a crisis, but tends to lose impact over time. At the same time, QE policies come with prominent risks which may materialise only in the longer term. We suggest a scheme of rule-based intervention in sovereign debt markets that preserves the role of yield spreads as a market signal, while containing the risk of bad equilibria. This document was provided by Policy Department A at the request of the Committee on Economic and Monetary Affairs (ECON).

Download or read book Following the Imprint of the ECB s Asset Purchase Programme on Global Bond and Deposit Flows written by Stefan Avdjiev and published by . This book was released on 2019 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: We trace the imprint of the ECB's expanded asset purchase programme (APP) on international bond portfolios and euro-denominated deposits. Our analysis suggests that non-bank financial institutions (NBFIs) located outside the euro area sold large volumes of euro area government bonds and kept a substantial fraction of the proceeds as euro-denominated deposits, primarily in UK-resident banks. Since the APP's modalities did not allow the NBFIs to engage directly with the Eurosystem, their deposits left an international trail of euro-denominated claims. Our findings highlight the role of the United Kingdom as a gateway to the euro area financial system for investors outside the euro area.

Download or read book The ECB s Asset Purchase Programme written by Pierpaolo Benigno and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Macroeconomic Impact of the ECB s Expanded Asset Purchase Programme APP written by and published by . This book was released on 2017 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel.

Download or read book Sectoral Sales of Government Securities During the ECB s Asset Purchase Programme written by Ramón Adalid and published by . This book was released on 2016 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: The transmission channels of quantitative easing programmes partly depend on which sectors sell the securities that the central bank purchases. This note examines the behaviour of the main euro area sectors in response to the public sector leg of the ECB's extended asset purchase (APP) programme. For each sector we compare realised net flows of government securities to those that would have occurred in the absence of the programme. We find that most sales are attributable to sectors other than euro area banks, with non-euro area residents standing out as the most responsive sector. We discuss the implications of this finding for the transmission of the QE policy in the euro area.

Download or read book Relationships Between ECB Asset Purchase Programme and Index Return in European Union written by and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News written by Roberto A. De Santis and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to identify the APP for the euro area, we rely upon Bloomberg news on euro area APP. The econometric results suggest that the impact of APP on euro area long-term sovereign yields is sizeable, albeit the programme was announced at a time of low financial distress. Most of the impact took place before the purchases took place with the vulnerable countries benefiting most.

Download or read book Monetary Policy in Times of Crisis written by Massimo Rostagno and published by Oxford University Press. This book was released on 2021 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first twenty years of the European Central Bank offer a unique insight into how a central bank can navigate macroeconomic insecurity and crisis. This volume examines the structures and decision-making processes behind the complex measures taken by the ECB to tackle some of the toughest economic challenges in the history of modern Europe.

Download or read book Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News written by and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assessing the impact of the Asset Purchase Programme (APP) by the European Central Bank (ECB) on euro area sovereign yields is challenging, because the monetary policy announcement in January 2015 was already implicitly communicated to the market in the second half of 2014. Therefore, to identify the APP for the euro area, we rely upon Bloomberg news on euro area APP. The econometric results suggest that the impact of APP on euro area long-term sovereign yields is sizeable, albeit the programme was announced at a time of low financial distress. Most of the impact took place before the purchases took place with the vulnerable countries benefiting most.