| Nº Sistema |
000475580 |
| Autor |
 Equiza, Juan |
|
Gimeno, Ricardo |
|
Moreno, Antonio |
|
Thomas, Carlos |
| Título |
Evaluating the yield curve effects of central bank asset purchases under a forward-looking supply factor [Recurso electrónico] / Juan Equiza, Ricardo Gimeno, Antonio Moreno and Carlos Thomas. |
| Publicado en |
European Economic Review [Artículos], v. 165, June 2024, 104744 |
| Nota general |
Artículo de revista |
| Resumen |
The theoretical literature on term structure models emphasizes the importance of the expected absorption of duration risk during the residual life of term bonds in order to understand the yield curve effect of central banks’ government bond purchases. Motivated by this, we develop a forward-looking, long-horizon measure of euro area government bond supply net of Eurosystem holdings, and use it to estimate the impact of the ECB’s asset purchase programs in the context of a no-arbitrage affine term structure model. We find that an asset purchase shock equivalent to 10% of euro area GDP lowers the 10-year average yield of the euro area big-four by 59 basis points (bp) and the associated term premium by 50 bp. Applying the model to the risk-free (OIS) yield curve, the same shock lowers the 10-year rate and term premium by 35 and 26 bp, respectively. [Resumen de autor] [eng] |
| Restricciones |
Acceso público y gratuito a la versión electrónica en Internet |
| Acceso electrónico |
 Acceso al texto completo. |
| Relacionado con |
Documentos de Trabajo / Banco de España; 2303 |
| Clasificación |
E2-Teoría monetaría. |
|
E3-Política monetaria. |
|
E4-Bancos centrales y otras autoridades monetarias. |
| Materia |
BCE. Banco Central Europeo |
| Materia |
Política monetaria |
|
Gestión de activos |
|
Curva de rendimientos |
|
Neutralidad al riesgo |
| Materia |
Zona euro |
