Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/175699 
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper No. 2075
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the in.ation re-anchoring channel and the credit channel.
Subjects: 
Asset Purchase Programme
Quantitative Easing
Euro Area
time-varying VAR
JEL: 
C32
E44
E52
E58
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2797-0
Document Type: 
Working Paper

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