Financial Markets Effects of ECB Unconventional Monetary Policy Announcements

Bulligan, Guido; Monache, Davide Delle

doi:10.2139/ssrn.3160801

Cited by 13 publications

(7 citation statements)

References 15 publications

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“…Moreover, they also show that the average positive effect of both programs is driven by 2020 announcements. This finding is more in line with Bulligan and Delle Monache (2018) who similarly study different time periods for this unconventional monetary policy instrument to compare the size of the effect over time. Their sample extends from 2014 to 2017 and suggests the strongest negative effect on government bonds in the initial phase of the APP.…”

Section: Figure 3: Alternative Time Fixed Effects Structures For the Estimation Modelssupporting

confidence: 86%

“…De Santis (2020) also confirms the result of a big announcement effect on government bond yields by taking into account the discussion intensity of the announcement in the media. Moreover, Bulligan and Delle Monache (2018) explicitly study different time periods to compare the size of the effects and again find the strongest effect on government bonds in the initial phase of the APP. They also find that the APP announcement led to a depreciation of the euro exchange rate against the British pound sterling and the US dollar.…”

Section: Literature Reviewmentioning

confidence: 98%

See 1 more Smart Citation

Dispelling the Shadow of Fiscal Dominance? Fiscal and Monetary Announcement Effects for Euro Area Sovereign Spreads in the Corona Pandemic

et al. 2021

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Section: Figure 3: Alternative Time Fixed Effects Structures For the Estimation Modelssupporting

confidence: 86%

Section: Literature Reviewmentioning

confidence: 98%

Dispelling the Shadow of Fiscal Dominance? Fiscal and Monetary Announcement Effects for Euro Area Sovereign Spreads in the Corona Pandemic

et al. 2021

View full text Add to dashboard Cite

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“…In particular, the role of monetary policy announcements on asset prices has recently received considerable attention (see Cook and Hahn (1989), Bernanke and Kuttner (2005), Gurkaynak et al (2005), Ehrmann and Fratzscher (2004), Bjornland and Leitemo (2009), Schmeling and Wagner (2019), Adrian and Liang (2016), Neuhierl and Weber (2016), Boyarchenko et al (2017), Swanson (2019 and Kroencke et al (2019) among others). A strand of this literature looks at stock returns on FOMC announcement days and find a significant impact, larger than macroeconomic announcement days (see Savor and Wilson (2013) Li and Wei (2013) and Pericoli and Veronese (2018) and Bulligan and Delle Monache (2018). A few studies explore the impact of QE on Emerging markets, see Fratzscher et al (2016) Fratzscher et al (2018 and Chen et al (2014).…”

Section: Related Literaturementioning

confidence: 99%

Does Monetary Policy Impact International Market Co-Movements?

2020

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We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies is felt strongly by emerging markets, and by countries that are open to the trading of goods and flows, even in the presence of floating exchange rates. It also impacts closed economies whose currencies are pegged to the dollar. This evidence is consistent with recent theories of a global financial cycle and the pricing of a FED's put. In contrast, ECB announcements hardly affect comovements, even in the Eurozone.

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“…For the controlled event study, the corresponding results are about 80 bp (one-day event study) and 65 bp (twoday event study). Bulligan and Delle Monache (2018) analyse 48 ECB announcements related to UMP carried out during the period September 2014-July 2017. They find that monetary policy news had significant effects on long-term sovereign bond yields and a greater one in countries that were most severely hit by the crisis, such as Italy and Spain.…”

Section: Signalling Channelmentioning

confidence: 99%

An assessment of the impact of the PSPP on Spanish public bonds

Izquierdo-Cervera,

Sogorb-Mira

2023

SEF

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Purpose The purpose of this study is to analyse the impact of the European Central Bank’s (ECB) Public Sector Purchase Programme (PSPP) on Spanish sovereign debt. Design/methodology/approach The authors assess the impact of the PSPP on Spanish Government bonds from two different transmission channels (the signalling and the portfolio substitution) with two effects for each of them (the announcement and the expectation effects for the former and the stock and the rebalancing effects for the latter). The empirical study has been undertaken with event study methodology, controlled by macroeconomic variables, panel data and cross-sectional regression analyses. Findings The results show that both the ECB’s purchases under the PSPP and the announcements reduced Spanish Government bond yields. Compared to previous literature the Spanish Government bond yields reductions are larger than those for other countries. Research limitations/implications The authors’ approach to the impact of investors’ expectations is interesting, although they cannot draw evidence on this issue due to the lack of data. Practical implications From an economic perspective, the ECB can change economic agents’ expectations without actually carrying out any programme, only by announcing such a programme. Originality/value This paper contributes to the literature examining the PSPP from different transmission channels in Spain, taking into account the announcements, the expectations, the purchases and the variation in debt holdings relating to the PSPP from the beginning of the programme until 2020. Due to the large degree of heterogeneity across euro area countries, the results in this paper should improve our understanding of the relative differences in the impact of the PSPP and, thus, be of interest to academics and policymakers.

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Financial Markets Effects of ECB Unconventional Monetary Policy Announcements

Cited by 13 publications

References 15 publications

Dispelling the Shadow of Fiscal Dominance? Fiscal and Monetary Announcement Effects for Euro Area Sovereign Spreads in the Corona Pandemic

Dispelling the Shadow of Fiscal Dominance? Fiscal and Monetary Announcement Effects for Euro Area Sovereign Spreads in the Corona Pandemic

Does Monetary Policy Impact International Market Co-Movements?

An assessment of the impact of the PSPP on Spanish public bonds

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