Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme ☆

摘要: Abstract We assess the yield impact of asset purchases within European Central Bank׳s (ECB) Securities Markets Programme (SMP) in five euro area sovereign bond markets from 2010–11. In addition to large announcement effects, we find an approximately −3 basis points at five-year maturity for 1/1000 outstanding debt. Bond volatility and tail risk are lower on intervention days most SMP countries. A dynamic specification both transitory long-run effects. Purchases improved liquidity conditions reduced default-risk premia, while signaling future low interest rates did not play a role.