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HomeThe macroeconomic impact of the ECB's expanded asset purchase programme (APP)
The macroeconomic impact of the ECB's expanded asset purchase programme (APP)
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This paper provides empirical evidence on the macroeconomic impact of the expanded asset purchase programme (APP) announced by the European Central Bank (ECB) in January 2015. The shock associated to the APP is identified with a combination of sign, timing and magnitude restrictions in the context of an estimated time-varying parameter VAR model with stochastic volatility. The evidence suggests that the APP had a significant upward effect on both real GDP and HICP inflation in the euro area during the first two years. The effect on real GDP appears to be stronger in the short term, while that on HICP inflation seems more marked in the medium term. Moreover, several channels of transmission appear to have been activated, including the portfolio rebalancing channel, the exchange rate channel, the inflation re-anchoring channel and the credit channel.
- Published:
- Corporate author(s): European Central Bank
- Personal author(s): Gambetti, Luca ; Musso, Alberto
- Themes: Banks, insurance , Economic policy — Economic and monetary union
- Subject: econometrics , economic model , euro area , European Central Bank , inflation , macroeconomics , monetary policy
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| ISSN 1725-2806 | ISBN 978-92-899-2797-0 | DOI 10.2866/589970 | Catalogue number QB-AR-17-087-EN-N |
- Released on EU Publications:
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