Bibliographische Detailangaben

Hauptverfasser:	Belke, Ansgar (VerfasserIn), Gros, Daniel (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Brussels [Belgium] CEPS Centre for European Policy Studies 2019
Schlagworte:	Economic policy Government/Political systems Present Times (2010 - today) Financial Markets
Online-Zugang:	BSB01
Beschreibung:	The asset purchase programme of the euro area, active between 2015 and 2018, constitutes an interesting special case of Quantitative Easing (QE) because the ECB’s Public Sector Purchase Programme (PSPP) involved the purchase of peripheral euro area government bonds, which were clearly not riskless. Moreover, these purchases were undertaken by national central banks at their own risk. Intuition suggests, and a simple model confirms, that, ceteris paribus, large purchases by a national central bank of the bonds of their own sovereign should increase the risk for the remaining private bond holders. This might seem incompatible with the observationthat risk spreads on peripheral bonds fell when QE in the euro area was announced. However, the initial fall in risk premiums may have been due to expectations of the bond purchases proving effective in lowering risk-free rates. When these expectations were disappointed, risk premiums returned to their initial level. Formal statistical tests confirm that indeed risk premiums on peripheral bonds did not follow a random walk (contrary to what is assumed inevent studies). Nor did the announcements of bond buying change the stochastics of these premiums. There is thus no reason to consider the impact effect to have been permanent
Beschreibung:	1 Online-Ressource (1 p. 27)
ISBN:	9789461387202