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Antonio Marsi
''Quantitative Easing in a fragmented Bond Market: core and periphery transmission channels.''
( 2022, Vol. 42 No.3 )
We study how the Asset Purchase Program (APP) of the ECB affected core and periphery specific components of sovereign yields, using a novel proxy-SVAR specification. We identify a persistent increase in the convenience yield associated to safe German bonds in response to the identified APP shock. Through a decomposition exercise of the estimated impulse responses, we argue that this “convenience yield” effect has partially offset the expansionary effect produced by the reduction in the common component of long-term yields of the euro area. This result is achieved by estimating a flexible proxy-SVAR which permits to isolate different components of a single structural shock.
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
G1 - General Financial Markets
Manuscript Received : Sep 22 2021 Manuscript Accepted : Sep 30 2022

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