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Tracing the impact of the ECB's asset purchase programme on the yield curve
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| Personen und Körperschaften: | , , , , |
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| Titel: | Tracing the impact of the ECB's asset purchase programme on the yield curve/ Fabian Eser, Wolfgang Lemke, Ken Nyholm, Sören Radde, Andreea Liliana Vladu |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2019]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2293 (July 2019)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the "free-float of duration risk" borne by price-sensitive investors. We include this supply variable in an arbitrage-free term structure model in which central bank purchases reduce the free-float of duration risk and hence compress term premia of yields. We estimate the stock of current and expected future APP holdings to reduce the 10y term premium by 95 bps. This reduction is persistent, with a half-life of five years. The expected length of the reinvestment period after APP net purchases is found to have a significant impact on term premia. |
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| Umfang: | 1 Online-Ressource (circa 57 Seiten); Illustrationen |
| ISBN: |
9789289935555
9289935553 |
| DOI: | 10.2866/17353 |