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Heterogeneous macro and financial effects of ECB asset purchase programs

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  • van der Zwan, Terri
  • Kole, Erik
  • van der Wel, Michel

Abstract

Like other central banks, the ECB resorted to asset purchase programs (APPs) to replace conventional policy measures. We examine their impact on the Euro area with a focus on the heterogeneity among its constituents and across financial markets. Our analysis combines a Bayesian structural VAR with an identification scheme based on market surprises at the announcement time, effectively capturing structural dynamics. At the Euro area level, APPs stimulate the economy, lower government bond yields, elevate stock prices, and reduce corporate and sovereign stress. The impact shows heterogeneity in the stock market with a widened value-growth spread in stocks and varying sector impacts, particularly favoring financial stocks, and across countries with stronger effects on southern Euro area countries. Our results show strong spillover effects between countries, indicating challenges in the precise targeting of APPs.

Suggested Citation

  • van der Zwan, Terri & Kole, Erik & van der Wel, Michel, 2024. "Heterogeneous macro and financial effects of ECB asset purchase programs," Journal of International Money and Finance, Elsevier, vol. 143(C).
    • Handle: RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000603
    DOI: 10.1016/j.jimonfin.2024.103073
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    More about this item

    Keywords

    Unconventional monetary policy; Financial markets; Heterogeneity; Structural vector autoregression;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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