Skip to main content
Erschienen in:

28.11.2023

On the time-varying effects of the ECB’s asset purchases

verfasst von: Andrejs Zlobins

Erschienen in: Empirical Economics | Ausgabe 6/2024

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

This paper (re-)evaluates the effectiveness of central bank asset purchases in the euro area given their prominent role in the ECB’s response to the pandemic as well as the evidence from the US suggesting diminishing returns of this policy measure over time. We analyse their macroeconomic impact in the euro area using a time-varying parameter structural vector autoregression with stochastic volatility and perform identification via sign and zero restrictions of Arias et al. (Econometrica 86:658–720, 2018), their fusion with high-frequency information approach akin to Jarociński and Karadi (Am Econ Macroecon 12:1–43, 2020) and a novel method which merges high-frequency identification with narrative sign restrictions of Antonlin-Diaz and Rubio-Ramirez (Am Econ Rev 108:2802–2829, 2018). We find that the potency of the ECB’s asset purchases to lift inflation has indeed considerably declined over time with several factors contributing to a more muted response of prices to central bank asset purchases. Our results show that the reanchoring channel is no longer active while the counterproductive effects via the mechanism outlined in Boehl et al. (Working Paper No. 691, 2020), which we dub the capacity utilization channel, have emerged lately and are further complemented with disinflationary effects stemming from the cost channel. Also, the effects passed through more standard transmission channels of central bank asset purchases like portfolio rebalancing and signalling, while still significant, appear to be less persistent recently. Overall, our findings point to a diminishing return of the ECB’s asset purchases to stabilize inflation and its expectations in the euro area.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Anhänge
Nur mit Berechtigung zugänglich
Fußnoten
1
In this paper, the term asset purchases is used interchangeably with quantitative easing in reference to the APP and the PEPP used by the ECB since 2015.
 
2
Although a growing list of literature questions the empirical relevance of the ZLB (see Altavilla et al. 2019; Debortoli et al. 2020; Zlobins 2020b), suggesting that standard monetary policy tools are still effective beyond zero, Zlobins (2020b) also shows that their ability to lift inflation is significantly weakened, thus requiring additional unconventional tools to ensure price stability.
 
3
Figure A6 in the Online Appendix shows that the estimates are not too sensitive with respect to the specific values of these hyperparameters. In particular, setting \(\chi _0\)=\(\psi _0\)=\(\alpha _0\)=\(\delta _0\)=0.01 gives similar estimates of the ECB’s QE over time.
 
4
Monthly real GDP series are obtained by performing the Litterman (1983) temporal disaggregation procedure using the industrial production index as indicator series.
 
5
Figure A2 in the Online Appendix shows that the results remain robust also when using two lags.
 
6
Fig. A3 in the Online Appendix contains an additional assuming that the standard monetary policy cannot contemporaneously impact output and inflation either. The results remain broadly in line with the baseline results.
 
7
Excluding one observation which includes 0.
 
8
We set the AR coefficient of the prior to 0, overall tightness \(\lambda _1\)=0.1, cross-variable weighting \(\lambda _2=0.5\), lag decay \(\lambda _3=1\) and block exogeneity shrinkage \(\lambda _5\)=0.001.
 
9
Note that the TVP-SVAR-SV is still estimated over the sample from January 2009 to June 2020 so that the parameters are consistent across both identification approaches. The shock series obtained via the HFI approach for the period before June 2014 is set to zero.
 
10
We use codes from the website of Refet Gürkaynak: http://​refet.​bilkent.​edu.​tr/​research.​html
 
11
Figure A7 in the Online Appendix shows that our results remain robust also when interest rate and stock market surprises are used as endogenous variables in the TVP-SVAR-SV and asset purchase shock is isolated from the information shock using the same restrictions as in Table 2, effectively replicating the approach of Jarociński and Karadi (2020) within the TVP-SVAR-SV.
 
12
See also impulse responses at selected horizons along with 68% credible sets in Fig. A8 in the Online Appendix.
 
13
Since our data sample ends in June 2020, we cannot fully estimate the macroeconomic effects of the PEPP, thus our results should be interpreted with caution about the PEPP effectiveness in the future.
 
14
See also impulse responses at selected horizons along with 68% credible sets in Fig. A9 in the Online Appendix.
 
15
When using the HFI approach, we also include the shock series in the model, increasing the total variable count to six.
 
16
A caveat of their study though is that they only consider transmission of the ECB’s asset purchases to the German Bunds while (Geiger and Schupp 2018) look at the euro area OIS curve.
 
Literatur
Zurück zum Zitat Abbate A, Eickmeier S, Prieto E (2020) Financial shocks and inflation dynamics. Working Paper No. 2020-13, Swiss National Bank Abbate A, Eickmeier S, Prieto E (2020) Financial shocks and inflation dynamics. Working Paper No. 2020-13, Swiss National Bank
Zurück zum Zitat Altavilla C, Brugnolini L, Gürkaynak RS, Motto R, Ragusa G (2019) Measuring euro area monetary policy. J Monet Econ 108:162–179CrossRef Altavilla C, Brugnolini L, Gürkaynak RS, Motto R, Ragusa G (2019) Measuring euro area monetary policy. J Monet Econ 108:162–179CrossRef
Zurück zum Zitat Altavilla C, Burlon L, Giannetti M, Holton S (2019) Is there a zero lower bound? The effects of negative policy rates on banks and firms. Working Paper No. 2289, ECB Altavilla C, Burlon L, Giannetti M, Holton S (2019) Is there a zero lower bound? The effects of negative policy rates on banks and firms. Working Paper No. 2289, ECB
Zurück zum Zitat Altavilla C, Carboni G, Motto R (2015) Asset purchase programmes and financial markets: Lessons from the euro area. Working Paper No. 1864, ECB Altavilla C, Carboni G, Motto R (2015) Asset purchase programmes and financial markets: Lessons from the euro area. Working Paper No. 1864, ECB
Zurück zum Zitat Andrade P, Breckenfelder J, De Fiore F, Karadi P, Tristani O (2016) The ECB’s asset purchase programme: an early assessment. Working Paper No. 1956, ECB Andrade P, Breckenfelder J, De Fiore F, Karadi P, Tristani O (2016) The ECB’s asset purchase programme: an early assessment. Working Paper No. 1956, ECB
Zurück zum Zitat Andrade P, Ferroni F (2021) Delphic and Odyssean monetary policy shocks: evidence from the euro area. J Monet Econ 117:816–832CrossRef Andrade P, Ferroni F (2021) Delphic and Odyssean monetary policy shocks: evidence from the euro area. J Monet Econ 117:816–832CrossRef
Zurück zum Zitat Antolin-Diaz J, Rubio-Ramirez JF (2018) Narrative sign restrictions for SVARs. Am Econ Rev 108(10):2802–2829CrossRef Antolin-Diaz J, Rubio-Ramirez JF (2018) Narrative sign restrictions for SVARs. Am Econ Rev 108(10):2802–2829CrossRef
Zurück zum Zitat Arias JE, Rubio-Ramirez JF, Waggoner DF (2018) Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications. Econometrica 86(2):685–720CrossRef Arias JE, Rubio-Ramirez JF, Waggoner DF (2018) Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications. Econometrica 86(2):685–720CrossRef
Zurück zum Zitat Barakchian MS, Crowe C (2013) Monetary policy matters: evidence from new shocks data. J Monet Econ 60(8):950–966CrossRef Barakchian MS, Crowe C (2013) Monetary policy matters: evidence from new shocks data. J Monet Econ 60(8):950–966CrossRef
Zurück zum Zitat Barth MJ III, Ramey VA (2002) The cost channel of monetary transmission. NBER Macroecon Annu 16:199–256CrossRef Barth MJ III, Ramey VA (2002) The cost channel of monetary transmission. NBER Macroecon Annu 16:199–256CrossRef
Zurück zum Zitat Bauer MD, Rudebusch GD (2014) The signaling channel for Federal Reserve bond purchases. Int J Cent Bank 10(3):233–289 Bauer MD, Rudebusch GD (2014) The signaling channel for Federal Reserve bond purchases. Int J Cent Bank 10(3):233–289
Zurück zum Zitat Baumeister C, Benati L (2013) Unconventional monetary policy and the great recession: estimating the macroeconomic effects of a spread compression at the zero lower bound. Int J Cent Bank 9(2):165–212 Baumeister C, Benati L (2013) Unconventional monetary policy and the great recession: estimating the macroeconomic effects of a spread compression at the zero lower bound. Int J Cent Bank 9(2):165–212
Zurück zum Zitat Bhattarai S, Eggertsson GB, Gafarov B (2015) Time consistency and the duration of government debt: a signalling theory of quantitative easing. Working Papers No. 21336, NBER Bhattarai S, Eggertsson GB, Gafarov B (2015) Time consistency and the duration of government debt: a signalling theory of quantitative easing. Working Papers No. 21336, NBER
Zurück zum Zitat Blattner TS, Joyce MAS (2016) Net debt supply shocks in the euro area and the implications for QE. Working Paper No.1957, ECB Blattner TS, Joyce MAS (2016) Net debt supply shocks in the euro area and the implications for QE. Working Paper No.1957, ECB
Zurück zum Zitat Bobeica E, Sokol A (2019) Drivers of underlying inflation in the euro area over time: a Phillips curve perspective. ECB Econ Bull 4:1 Bobeica E, Sokol A (2019) Drivers of underlying inflation in the euro area over time: a Phillips curve perspective. ECB Econ Bull 4:1
Zurück zum Zitat Boehl G, Goy G, Strobel F (2020) A structural investigation of quantitative easing. Working Paper No. 691, De Nederlandsche Bank Boehl G, Goy G, Strobel F (2020) A structural investigation of quantitative easing. Working Paper No. 691, De Nederlandsche Bank
Zurück zum Zitat Boehl G, Lieberknecht P (2021) The hockey stick Phillips curve and the zero lower bound. Working Paper No. 153, IMFS Boehl G, Lieberknecht P (2021) The hockey stick Phillips curve and the zero lower bound. Working Paper No. 153, IMFS
Zurück zum Zitat Borio C, Zabai A (2016) Unconventional monetary policies: a re-appraisal. Working Paper No. 570, BIS Borio C, Zabai A (2016) Unconventional monetary policies: a re-appraisal. Working Paper No. 570, BIS
Zurück zum Zitat Cantore C, Ferroni F, León-Ledesma M (2020) The missing link: Monetary policy and the labor share. Working Paper No. 857, Bank of England Cantore C, Ferroni F, León-Ledesma M (2020) The missing link: Monetary policy and the labor share. Working Paper No. 857, Bank of England
Zurück zum Zitat Carlstrom CT, Fuerst TS, Paustian M (2017) Targeting long rates in a model with segmented markets. Am Econ J Macroecon 9(1):205–242CrossRef Carlstrom CT, Fuerst TS, Paustian M (2017) Targeting long rates in a model with segmented markets. Am Econ J Macroecon 9(1):205–242CrossRef
Zurück zum Zitat Carriero A, Clark TE, Marcellino M, Mertens E (2021) Addressing COVID-19 outliers in BVARs with stochastic volatility. Working Paper No. 21-02, Federal Reserve Bank of Cleveland Carriero A, Clark TE, Marcellino M, Mertens E (2021) Addressing COVID-19 outliers in BVARs with stochastic volatility. Working Paper No. 21-02, Federal Reserve Bank of Cleveland
Zurück zum Zitat Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J Polit Econ 113(1):1–45CrossRef Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J Polit Econ 113(1):1–45CrossRef
Zurück zum Zitat Chung H, Laforte J-P, Reifschneider D, Williams J (2011) Estimating the macroeconomic effects of the Fed’s asset purchases. FRBSF Economic Letter 2011-03 Chung H, Laforte J-P, Reifschneider D, Williams J (2011) Estimating the macroeconomic effects of the Fed’s asset purchases. FRBSF Economic Letter 2011-03
Zurück zum Zitat Cogley T, Sargent TJ (2005) Drift and volatilities: monetary policies and outcomes in the post WWII US. Rev Econ Dyn 8(2):262–302CrossRef Cogley T, Sargent TJ (2005) Drift and volatilities: monetary policies and outcomes in the post WWII US. Rev Econ Dyn 8(2):262–302CrossRef
Zurück zum Zitat D’Amico S, English W, López-Salido D, Nelson E (2012) The Federal Reserve’s large-scale asset purchase programmes: rationale and effects. Econ J 122(654):415–446 D’Amico S, English W, López-Salido D, Nelson E (2012) The Federal Reserve’s large-scale asset purchase programmes: rationale and effects. Econ J 122(654):415–446
Zurück zum Zitat De Santis RA (2016) Impact of the asset purchase programme on euro area government bond yields using market news. Working Paper No. 1939, ECB De Santis RA (2016) Impact of the asset purchase programme on euro area government bond yields using market news. Working Paper No. 1939, ECB
Zurück zum Zitat Debortoli D, Galí J, Gambetti L (2020) On the empirical (IR)relevance of the zero lower bound constraint. NBER Macroecon Annu 34(1):141–170CrossRef Debortoli D, Galí J, Gambetti L (2020) On the empirical (IR)relevance of the zero lower bound constraint. NBER Macroecon Annu 34(1):141–170CrossRef
Zurück zum Zitat Dedola L, Georgiadis G, Gräb J, Mehl A (2021) Does a big bazooka matter? Quantitative easing policies and exchange rates. J Monet Econ 117:489–506CrossRef Dedola L, Georgiadis G, Gräb J, Mehl A (2021) Does a big bazooka matter? Quantitative easing policies and exchange rates. J Monet Econ 117:489–506CrossRef
Zurück zum Zitat ECB. The international role of the euro. June 2020 ECB. The international role of the euro. June 2020
Zurück zum Zitat Eggertsson GB, Woodford M (2003) The zero bound on interest rates and optimal monetary policy. Brook Pap Econ Act 34(1):139–235CrossRef Eggertsson GB, Woodford M (2003) The zero bound on interest rates and optimal monetary policy. Brook Pap Econ Act 34(1):139–235CrossRef
Zurück zum Zitat Eser F, Karadi P, Lane PR, Moretti L, Osbat C (2020) The Phillips curve at the ECB. Working Paper No. 2400, ECB Eser F, Karadi P, Lane PR, Moretti L, Osbat C (2020) The Phillips curve at the ECB. Working Paper No. 2400, ECB
Zurück zum Zitat Eser F, Lemke W, Nyholm K, Radde S, Vladu AL (2019) Tracing the impact of the ECB’s asset purchase programme on the yield curve. Working Paper No. 2293, ECB Eser F, Lemke W, Nyholm K, Radde S, Vladu AL (2019) Tracing the impact of the ECB’s asset purchase programme on the yield curve. Working Paper No. 2293, ECB
Zurück zum Zitat Fratzscher M (2009) What explains global exchange rate movements during the financial crisis? J Int Money Financ 28(8):1390–1407CrossRef Fratzscher M (2009) What explains global exchange rate movements during the financial crisis? J Int Money Financ 28(8):1390–1407CrossRef
Zurück zum Zitat Gambacorta L, Hofmann B, Peersman G (2014) The effectiveness of unconventional monetary policy at the zero lower bound: a cross-country analysis. J Money Credit Bank 46(4):615–642CrossRef Gambacorta L, Hofmann B, Peersman G (2014) The effectiveness of unconventional monetary policy at the zero lower bound: a cross-country analysis. J Money Credit Bank 46(4):615–642CrossRef
Zurück zum Zitat Gambetti L, Musso A (2020) The effects of the ECB’s expanded asset purchase programme. Eur Econ Rev 130:1CrossRef Gambetti L, Musso A (2020) The effects of the ECB’s expanded asset purchase programme. Eur Econ Rev 130:1CrossRef
Zurück zum Zitat Garcia Pascual AI, Wieladek T (2016) The European Central Bank’s QE: A new hope. Discussion Paper No. DP11309, CEPR Garcia Pascual AI, Wieladek T (2016) The European Central Bank’s QE: A new hope. Discussion Paper No. DP11309, CEPR
Zurück zum Zitat Geiger F, Schupp F (2018) With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. Discussion Paper No. 27/2018, Deutsche Bundesbank Geiger F, Schupp F (2018) With a little help from my friends: Survey-based derivation of euro area short rate expectations at the effective lower bound. Discussion Paper No. 27/2018, Deutsche Bundesbank
Zurück zum Zitat Gertler M, Karadi P (2011) A model of unconventional monetary policy. J Monet Econ 58(1):17–34CrossRef Gertler M, Karadi P (2011) A model of unconventional monetary policy. J Monet Econ 58(1):17–34CrossRef
Zurück zum Zitat Gertler M, Karadi P (2015) Monetary policy surprises, credit costs, and economic activity. Am Econ J Macroecon 7(1):44–76CrossRef Gertler M, Karadi P (2015) Monetary policy surprises, credit costs, and economic activity. Am Econ J Macroecon 7(1):44–76CrossRef
Zurück zum Zitat Gilchrist S, Mojon B (2018) Credit risk in the euro area. Econ J 128(608):118–158CrossRef Gilchrist S, Mojon B (2018) Credit risk in the euro area. Econ J 128(608):118–158CrossRef
Zurück zum Zitat Gourinchas P-O, Rey H, Truempler K (2012) The financial crisis and the geography of wealth transfers. J Int Econ 88(2):266–283CrossRef Gourinchas P-O, Rey H, Truempler K (2012) The financial crisis and the geography of wealth transfers. J Int Econ 88(2):266–283CrossRef
Zurück zum Zitat Gürkaynak RS, Sack B, Swanson E (2005) Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. Int J Central Bank 1(1):1 Gürkaynak RS, Sack B, Swanson E (2005) Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. Int J Central Bank 1(1):1
Zurück zum Zitat Haldane A, Roberts-Sklar M, Wieladek YC, T (2016) QE: The story so far. Working Paper No. 624, Bank of England Haldane A, Roberts-Sklar M, Wieladek YC, T (2016) QE: The story so far. Working Paper No. 624, Bank of England
Zurück zum Zitat Hartmann P, Smets F (2018) The first twenty years of the European Central Bank: Monetary policy. Working Paper No. 2219, ECB Hartmann P, Smets F (2018) The first twenty years of the European Central Bank: Monetary policy. Working Paper No. 2219, ECB
Zurück zum Zitat Jarociński M, Karadi P (2020) Monetary policy surprises—the role of information shocks. Am Econ J Macroecon 12(2):1–43CrossRef Jarociński M, Karadi P (2020) Monetary policy surprises—the role of information shocks. Am Econ J Macroecon 12(2):1–43CrossRef
Zurück zum Zitat Karadi P, Nakov A (2021) Effectiveness and addictiveness of quantitative easing. J Monet Econ 117:1096–1117CrossRef Karadi P, Nakov A (2021) Effectiveness and addictiveness of quantitative easing. J Monet Econ 117:1096–1117CrossRef
Zurück zum Zitat Kerssenfischer M (2019) Information effects of euro area monetary policy: New evidence from high-frequency futures data. Discussion Paper No. 07, Deutsche Bundesbank Kerssenfischer M (2019) Information effects of euro area monetary policy: New evidence from high-frequency futures data. Discussion Paper No. 07, Deutsche Bundesbank
Zurück zum Zitat Kiley MT (2018) Quantitative easing and the “new normal” in monetary policy. Finance and Economics Discussion Series No. 2018-004, Board of Governors of the Federal Reserve System Kiley MT (2018) Quantitative easing and the “new normal” in monetary policy. Finance and Economics Discussion Series No. 2018-004, Board of Governors of the Federal Reserve System
Zurück zum Zitat Kim K, Laubach T, Wei M (2020) Macroeconomic effects of large-scale asset purchases: New evidence. Finance and Economics Discussion Series No. 2020-047, Board of Governors of the Federal Reserve System Kim K, Laubach T, Wei M (2020) Macroeconomic effects of large-scale asset purchases: New evidence. Finance and Economics Discussion Series No. 2020-047, Board of Governors of the Federal Reserve System
Zurück zum Zitat Koijen RSJ, Koulischer F, Nguyen B, Yogo M (2016) Quantitative easing in the euro area: the dynamics of risk exposures and the impact on asset prices. Document de Travail No. 601, Banque de France Koijen RSJ, Koulischer F, Nguyen B, Yogo M (2016) Quantitative easing in the euro area: the dynamics of risk exposures and the impact on asset prices. Document de Travail No. 601, Banque de France
Zurück zum Zitat Krishnamurthy A, Vissing-Jorgensen A (2011) The effects of quantitative easing on interest rates: channels and implications for policy. Brook Pap Econ Act 42(2):215–287CrossRef Krishnamurthy A, Vissing-Jorgensen A (2011) The effects of quantitative easing on interest rates: channels and implications for policy. Brook Pap Econ Act 42(2):215–287CrossRef
Zurück zum Zitat Kuttner KN (2001) Monetary policy surprises and interest rates: evidence from the fed funds futures market. J Monet Econ 47(3):523–544CrossRef Kuttner KN (2001) Monetary policy surprises and interest rates: evidence from the fed funds futures market. J Monet Econ 47(3):523–544CrossRef
Zurück zum Zitat Lemke W, Werner T (2020) Dissecting long-term bund yields in the run-up to the ECB’s public sector purchase programme. J Bank Finance 111 Lemke W, Werner T (2020) Dissecting long-term bund yields in the run-up to the ECB’s public sector purchase programme. J Bank Finance 111
Zurück zum Zitat Lenza M, Primiceri GE (2020) How to estimate a VAR after March 2020. Working Paper No. 2461, ECB Lenza M, Primiceri GE (2020) How to estimate a VAR after March 2020. Working Paper No. 2461, ECB
Zurück zum Zitat Lhuissier S, Nguyen B (2021) The dynamic effects of the ECB’s asset purchases: a survey-based identification. Working Paper No. 806, Banque de France Lhuissier S, Nguyen B (2021) The dynamic effects of the ECB’s asset purchases: a survey-based identification. Working Paper No. 806, Banque de France
Zurück zum Zitat Litterman RB (1983) A random walk, Markov model for the distribution of time series. J Bus Eco Stat 1(2):169–173CrossRef Litterman RB (1983) A random walk, Markov model for the distribution of time series. J Bus Eco Stat 1(2):169–173CrossRef
Zurück zum Zitat Mandler M, Scharnagl M (2020) Estimating the effects of the Eurosystem’s asset purchase programme at the country level. Discussion Paper No. 29/2020, Deutsche Bundesbank Mandler M, Scharnagl M (2020) Estimating the effects of the Eurosystem’s asset purchase programme at the country level. Discussion Paper No. 29/2020, Deutsche Bundesbank
Zurück zum Zitat Mertens K, Ravn MO (2013) The dynamic effects of personal and corporate income tax changes in the United States. Am Econ Rev 103(4):1212–1247CrossRef Mertens K, Ravn MO (2013) The dynamic effects of personal and corporate income tax changes in the United States. Am Econ Rev 103(4):1212–1247CrossRef
Zurück zum Zitat Metiu N, Hilberg B, Grill M (2016) Credit constraints and the international propagation of US financial shocks. J Bank Finance 72:67–80CrossRef Metiu N, Hilberg B, Grill M (2016) Credit constraints and the international propagation of US financial shocks. J Bank Finance 72:67–80CrossRef
Zurück zum Zitat Nakamura E, Steinsson J (2018) High-frequency identification of monetary non-neutrality: the information effect. Q J Econ 133(3):1283–1330CrossRef Nakamura E, Steinsson J (2018) High-frequency identification of monetary non-neutrality: the information effect. Q J Econ 133(3):1283–1330CrossRef
Zurück zum Zitat Nekarda CJ, Ramey VA (2020) The cyclical behavior of the price-cost markup. J Money Credit Bank 52(S2):319–353CrossRef Nekarda CJ, Ramey VA (2020) The cyclical behavior of the price-cost markup. J Money Credit Bank 52(S2):319–353CrossRef
Zurück zum Zitat Nickel C, Bobeica E, Koester G, Lis E, Porqueddu M (2019) Understanding low wage growth in the euro area and European countries. Discussion Paper No. 232, ECB Nickel C, Bobeica E, Koester G, Lis E, Porqueddu M (2019) Understanding low wage growth in the euro area and European countries. Discussion Paper No. 232, ECB
Zurück zum Zitat Paul P (2020) The time-varying effect of monetary policy on asset prices. Rev Econ Stat 102(4):690–704CrossRef Paul P (2020) The time-varying effect of monetary policy on asset prices. Rev Econ Stat 102(4):690–704CrossRef
Zurück zum Zitat Piazzesi M (2002) The Fed and interest rates—a high-frequency identification. Am Econ Rev 92(2):90–95CrossRef Piazzesi M (2002) The Fed and interest rates—a high-frequency identification. Am Econ Rev 92(2):90–95CrossRef
Zurück zum Zitat Plagborg-Møller M, Wolf CK (2021) Local projections and VARs estimate the same impulse responses. Econometrica 89(2):955–980CrossRef Plagborg-Møller M, Wolf CK (2021) Local projections and VARs estimate the same impulse responses. Econometrica 89(2):955–980CrossRef
Zurück zum Zitat Primiceri GE (2005) Time varying structural vector autoregressions and monetary policy. Rev Econ Stud 72(3):821–852CrossRef Primiceri GE (2005) Time varying structural vector autoregressions and monetary policy. Rev Econ Stud 72(3):821–852CrossRef
Zurück zum Zitat Ramey VA (2011) Identifying government spending shocks: It’s all in the timing. Q J Econ 126(1):1–50CrossRef Ramey VA (2011) Identifying government spending shocks: It’s all in the timing. Q J Econ 126(1):1–50CrossRef
Zurück zum Zitat Ravenna F, Walsh CE (2006) Optimal monetary policy with the cost channel. J Monet Econ 53(2):199–216CrossRef Ravenna F, Walsh CE (2006) Optimal monetary policy with the cost channel. J Monet Econ 53(2):199–216CrossRef
Zurück zum Zitat Romer CD, Romer DH (2004) A new measure of monetary shocks: derivation and implications. Am Econ Rev 94(4):1055–1084CrossRef Romer CD, Romer DH (2004) A new measure of monetary shocks: derivation and implications. Am Econ Rev 94(4):1055–1084CrossRef
Zurück zum Zitat Rostagno M, Altavilla C, Carboni G, Lemke W, Motto R, S G A, Yiangou J (2019) A tale of two decades: the ECB’s monetary policy at 20. Working Paper No. 2346, ECB Rostagno M, Altavilla C, Carboni G, Lemke W, Motto R, S G A, Yiangou J (2019) A tale of two decades: the ECB’s monetary policy at 20. Working Paper No. 2346, ECB
Zurück zum Zitat Schenkelberg H, Watzka S (2013) Real effects of quantitative easing at the zero lower bound: structural VAR-based evidence from Japan. J Int Money Financ 33:327–357CrossRef Schenkelberg H, Watzka S (2013) Real effects of quantitative easing at the zero lower bound: structural VAR-based evidence from Japan. J Int Money Financ 33:327–357CrossRef
Zurück zum Zitat Sims E, Wu E (2020) Are QE and conventional monetary policy substitutable? Int J Cent Bank 16(1):195–230 Sims E, Wu E (2020) Are QE and conventional monetary policy substitutable? Int J Cent Bank 16(1):195–230
Zurück zum Zitat Stock JH, Watson MW (2012) Disentangling the channels of the 2007–09 recession. Brook Pap Econ Act 43(1):81–156CrossRef Stock JH, Watson MW (2012) Disentangling the channels of the 2007–09 recession. Brook Pap Econ Act 43(1):81–156CrossRef
Zurück zum Zitat Swanson ET (2021) Measuring the effects of Federal Reserve forward guidance and asset purchases on financial markets. J Monet Econ 118:32–53CrossRef Swanson ET (2021) Measuring the effects of Federal Reserve forward guidance and asset purchases on financial markets. J Monet Econ 118:32–53CrossRef
Zurück zum Zitat Vayanos D, Vila J (2009) A preferred-habitat model of the term structure of interest rates. Discussion Paper No. DP7547, CEPR Vayanos D, Vila J (2009) A preferred-habitat model of the term structure of interest rates. Discussion Paper No. DP7547, CEPR
Zurück zum Zitat Weale M, Wieladek T (2016) What are the macroeconomic effects of asset purchases? J Monet Econ 79:81–93CrossRef Weale M, Wieladek T (2016) What are the macroeconomic effects of asset purchases? J Monet Econ 79:81–93CrossRef
Zurück zum Zitat Williams JC (2016) Monetary policy in a low r-star world. FRBSF Economic Letter 23 Williams JC (2016) Monetary policy in a low r-star world. FRBSF Economic Letter 23
Zurück zum Zitat Wright JH (2019) Comment on “Measuring euro area monetary policy’’ by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto. J Monet Econ 108:180–184CrossRef Wright JH (2019) Comment on “Measuring euro area monetary policy’’ by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto. J Monet Econ 108:180–184CrossRef
Zurück zum Zitat Yu E (2016) Did quantitative easing work? Econ Insights 1(1):5–13 Yu E (2016) Did quantitative easing work? Econ Insights 1(1):5–13
Zurück zum Zitat Zlobins A (2020) Country-level effects of the ECB’s expanded asset purchase programme. Baltic J Econ 20(2):187–217CrossRef Zlobins A (2020) Country-level effects of the ECB’s expanded asset purchase programme. Baltic J Econ 20(2):187–217CrossRef
Zurück zum Zitat Zlobins A (2020b) ZLB and beyond: Real and financial effects of low and negative interest rates in the euro area. Working Paper No. 2020/06, Latvijas Banka Zlobins A (2020b) ZLB and beyond: Real and financial effects of low and negative interest rates in the euro area. Working Paper No. 2020/06, Latvijas Banka
Zurück zum Zitat Zlobins A (2021) Macroeconomic effects of the ECB’s forward guidance. Emp Econ 61(5):2587–2611CrossRef Zlobins A (2021) Macroeconomic effects of the ECB’s forward guidance. Emp Econ 61(5):2587–2611CrossRef
Metadaten
Titel
On the time-varying effects of the ECB’s asset purchases
verfasst von
Andrejs Zlobins
Publikationsdatum
28.11.2023
Verlag
Springer Berlin Heidelberg
Erschienen in
Empirical Economics / Ausgabe 6/2024
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI
https://doi.org/10.1007/s00181-023-02529-0

Weitere Artikel der Ausgabe 6/2024

Empirical Economics 6/2024 Zur Ausgabe

OriginalPaper

Contagious protests

Premium Partner