The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis

Zabala, José A.; Prats, Montserrat

doi:10.1111/twec.12880

Cited by 10 publications

(7 citation statements)

References 44 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…4. Two comprehensive and up-to-date surveys of the literature are Beckmann et al (2020) and Benigno et al (2023), whereas some noteworthy papers are Bluwstein and Canova (2016), Bulligan and Delle Monache (2018), Burriel and Galesi (2018), Cova and Ferrero (2015), Neri and Siviero (2018) and Zabala and Prats (2020).…”

Section: Discussionmentioning

confidence: 99%

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

Izquierdo-Cervera,

Sogorb-Mira

2023

SEF

View full text Add to dashboard Cite

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.

show abstract

Section: Discussionmentioning

confidence: 99%

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

Izquierdo-Cervera,

Sogorb-Mira

2023

SEF

View full text Add to dashboard Cite

show abstract

“…The growing ECB balance sheet reflects this process (see Haas and Neely 2020 ). Thanks to these immediate actions, the central banks’ purchase programmes helped to control the yield curve which is especially beneficial for high-debt countries and corporations that issue investment grade bonds (see Zabala and Prats 2020 ). Due to the monetizing mechanism, governments suffering from fiscal imbalances are somewhat protected from running into a debt crisis as the central banks’ behavior implicitly guarantees that there is a stable demand for sovereign bonds issued by these countries.…”

Section: How Monetary Policy Aims At Combatting Covid-19mentioning

confidence: 99%

Risk premia and the European government bond market: new empirical evidence and some thoughts from the perspective of the life insurance industry

et al. 2021

View full text Add to dashboard Cite

We study yield spreads between government bonds in the European Monetary Union. This segment of the global fixed income market is of particular importance for insurance companies in Europe. Our empirical research strategy is inspired by Gunay (2020) who has analyzed the relationship between credit and liquidity risk in the United States using Granger causality tests. More specifically, we employ the procedure developed by Toda and Yamamoto (1995) to test for Granger causality among yield spreads in five different member countries of the European Monetary Union (namely Austria, Belgium, France, Italy and Ireland) relative to Germany. We examine interest rate data from bonds with three different maturities (5, 10 and 30 years). Given the importance of long-term bonds as asset class for European life insurers and pension funds, the empirical results from the often ignored market for government bonds with a maturity of 30 years should be of interest. With regard to long-term sovereign debt, there is no evidence for Granger causality among the time series examined here. Consequently, the risk premia required by investors to hold government bonds of one specific member country of the EMU do not help to forecast the risk premia that have to be paid by other countries. Given the structure of their liabilities, this empirical finding should be of high relevance for portfolio and risk managers in the European life insurance industry and in pension funds. With regard to the yield spreads to be observed in the market for 10-year government bonds, there seems to be no clear picture. Focusing on fixed income securities with a maturity of 5 years, there is one very interesting empirical finding. The test results reported here seem to imply that there is unidirectional Granger causality running from the yield spreads in all other four countries to Austria. Given that Austria is a comparably small country which is assumed to be in a fiscally stable position, this result could be interpreted as evidence for credit risk premia as being helpful to forecast liquidity risk premia in the market for medium-term government bonds issued by member states of the European Monetary Union.

show abstract

“…During these three phases, the Federal Reserve purchased $4.48 trillion worth of financial assets that boosted the money supply in the U.S. economy (Chapman & Kulkarni, 2020;Dinh et al, 2020;Fiebiger & Lavoie, 2020;Schlepper et al, 2020;Todorov, 2020;Sakir, 2015). Factually the policy uses three channels, among others (Kaminska & Zinna, 2020;Luck & Zimmermann, 2020;Yang et al, 2020;Zabala & Prats, 2020;Nam, 2018):…”

Section: Implementation Of Quantitative Easing (Qe)mentioning

confidence: 99%

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

Et.al¹

2021

TURCOMAT

View full text Add to dashboard Cite

This study aims to describe the form of Quantitative Easing applied by the Central Bank as well as qualitatively measure its benefits and excesses. To obtain a description and know the benefits and excesses in question, the research approach uses a qualitative approach by conducting a literature study of several facts and quantitative easing studies by Bank Indonesia and the Fed from various literature and media inductively relevant theories. This study's findings show that excesses can be detrimental to society, and countries that are shariah are harmful that should be avoided. This research is expected to encourage further research to determine the correlation of Quantitative Easing policy to the resolution of economic crisis and obtain alternative solutions by implementing the Islamic monetary system. The impact of the covid-19 pandemic that continues to this day causes economic shock, the slowing flow of goods commodities, decreased production, and decreased purchasing power of the community. Various policy efforts are carried out through fiscal stimulus as well as support through monetary policy in the form of quantitative easing.

show abstract

The unconventional monetary policy of the European Central Bank: Effectiveness and transmission analysis

Cited by 10 publications

References 44 publications

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

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

Risk premia and the European government bond market: new empirical evidence and some thoughts from the perspective of the life insurance industry

Quantitative Easing In Overcoming the Crisis: Criticism ofQeinthe Monetary System Of Capitalism

Contact Info

Product

Resources

About