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13 June 2017

ECB working paper: The macroeconomic impact of the ECB's expanded asset purchase programme (APP)


This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme announced by the European Central Bank in January 2015.

This paper provides some estimates on the macroeconomic impact of the ECBs expanded asset purchase programme (APP) based on a time-varying parameters VAR with stochastic volatility and a novel identification scheme combining sign, timing and magnitude restrictions and using the Eurosystem security purchases and the long-term interest rate as instruments.

Overall, the analysis points to a significant impact of the APP on both real GDP and HICP inflation. More precisely, it is estimated that the contribution of the APP shock to real GDP was stronger in the short term (0.18 percentage point during the first quarter of 2015 and 0.16 percentage point by the end of 2015), becoming then very small by the fourth quarter of 2016 (0.02 percentage point).

By contrast, the contribution of the APP shock to the HICP increases over time, being small in the first quarter of 2015 (0.06 percentage point) and becoming substantial by the end of 2015 (0.18 percentage point) and especially by the fourth quarter of 2016 (0.36 percentage point).

Moreover, several channels appear to have been activated by the APP, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel. A caveat to be borne in mind is that the analysis only provides a quantification of the impact of the initial APP package introduced in early 2015, while not including also the sub-sequent re-calibrations of the APP announced in December 2015, March 2016 and December 2016.

As a follow-up to this work, it would be interesting to undertake a similar analysis to other jurisdictions which applied similar policies, such as QE implemented in the US, UK and Japan in recent years, with an appropriate adaptation of the identification scheme such as to reflect the common features of all of these measures, to compare their macroeconomic impact and try to understand what factors might explain possible differences, including the presence of negative interest rates or the interaction of QE with different non-standard monetary policy measures.

Working paper



© ECB - European Central Bank


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