Briciu, Lucian, Lisi, Giulio, (2015), “An event-study analysis of ECB balance sheet policies since October 2008”, European Commission publications, Economic Brief 001, July 2015
Using an event-study approach, this paper provides an impact analysis of seven sets of balance sheet policies (BSPs) launched by the ECB between October 2008 and January 2015. According to the event-study results, the set of ECB BSPs announced in 2014 had the broadest immediate impact on euro area financial conditions, though possibly augmented by parallel announcements of conventional monetary policy decisions. The expanded asset purchase programme (EAPP) had the strongest impact on the exchange rate, while also significantly lowering longer-term government bond yields. The Securities Markets Programme (SMP), the BSPs announced in late 2011 and the EAPP appear to have also been successful in raising market-based inflation expectations. In interpreting the results, it should be borne in mind that event studies provide a snapshot view of immediate effects and do not capture the full effects of policy measures over time. They should hence be seen as part of a broader overall assessment.
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