Benoit Nguyen
Benoit Nguyen
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The dynamic effects of the ECB's asset purchases: a survey-based identification
This paper estimates the dynamic effects of the ECB’s asset purchase programme (APP) using a proxy-VAR. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB, inferred from public expectations released in quantitative surveys just before monetary policy announcements. Our results consistently show that innovations to APP have expansionary effects on both output and prices: an immediate increase in asset purchases of one percent of GDP leads to a maximum impact in industrial production and consumer prices by 0.15 percent and 0.06 percent, respectively. Our counterfactual analyses indicate that APP and its successive recalibrations were central in supporting inflation. For example, inflation would have fallen into negative territory without December 2015 and March 2016 APP recalibrations.
Stéphane Lhuissier
,
Benoit Nguyen
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