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Title: The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012
Authors: Hall, Stephen
Tavlas, George S.
Gibson H, Stephen G.
First Published: 9-Oct-2015
Publisher: Elsevier
Citation: Journal of Macroeconomics, 2015 (In press)
Abstract: We examine the impact of the ECB’s Securities Market Program (SMP) and its two Covered Bond Purchase Programs (CBPPs ) on sovereign bond spreads and covered - bond prices, respectively, for five euro - area stressed countries -- Greece, Ireland, Italy, Portugal, and Spain. Our data are monthly and cover the period from 2004M01 through 2014M07. In contrast to previous studies, we use actual, confidential, intervention data. Our results indicate that the respective asset purchase programs reduced sovereign spreads and raised covered bond prices . The quantitative effects of the programs were modest in magnitude, but nevertheless significant . We also provide a simple theoretical model that explains why official asset purchases can reduce a country’s default - risk spreads.
DOI Link: 10.1016/j.jmacro.2015.09.006
ISSN: 0164-0704
eISSN: 1873-152X
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © Elsevier, 2015. Deposited with reference to the publisher’s archiving policy available on the SHERPA/RoMEO website. This manuscript version is made available after the end of the embargo period under the CC-BY-NC-ND 4.0 license
Description: The file associated with this record is under a 36-month embargo in accordance with the publisher's self-archiving policy, available at The full text may be available in the links provided above.
Appears in Collections:Published Articles, Dept. of Economics

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