期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：Policy impact studies often su er from endogeneity problems. Consider the case of the ECB SecuritiesMarkets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriora-tions, looking at daily price changes may bias downwards the correlation between yields and the amountsof bonds purchased. Simple regression of daily changes in yields on quantities often give insigni cant oreven positive coecients and therefore suggest that SMP interventions have been ine ective, or worsecounterproductive. We use high frequency data on purchases of the ECB Securities Markets Programmeand sovereign bond quotes to address the endogeneity issues. We propose an econometric model thatconsiders, simultaneously, rst and second conditional moments of market price returns at daily andintradaily frequency. We nd that SMP interventions succeeded in reducing yields and volatility ofgovernment bond segments of the countries under the programme. Finally, the new econometric modelis broadly applicable to market intervention studies.
关键词：Unconventional monetary policy; Euro area crisis; SMP; Component models; High;frequency data.
