The effects of the large-scale asset purchase programs launched by the ECB and the FED

• Autor(a) principal: Pardal, Pedro Gonçalves Ferreira Branco
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/29857
• topic: Asset purchase program effects; Unconventional monetary policy; VAR; Quantitative easing; Announcement dates; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

This Dissertation explores the effects of the large-scale asset purchase programs launched by the European Central Bank in 2014 and by the Federal Reserve in 2008 and compare the results across the two economies. We start by investigating whether the programs had effects in reducing financial market tensions by analyzing the daily behavior of some market indicators around important announcement dates. Then, by employing a standard VAR, we analyze the impact of an asset purchase shocks in main macroeconomic indicators, such as output and prices, and in financial markets indicators, such as bond yields and stock prices. From the first analysis, the results suggest that both Central Banks made announcements that had immediate effects in reducing bond yields, depreciating the domestic currency and boosting stock prices. From the VAR analysis, we conclude that the US program was more effective in rising output, inflation and stock prices than the ECB program, and that both programs were able to decrease both long term government and corporate bond yields of the respective economy. However, it was found stronger evidence for the US dollar depreciation during the US period studied than for the euro area domestic currency depreciation during the ECB program.