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An empirical analysis of the ECB quantitative easing programme

Badstuber, Ulrich LU and Scalzulli, Edoardo LU (2015) NEKN02 20151
Department of Economics
Abstract
On 22 January 2015, the ECB finally announced its expanded asset repurchase programme, better known as quantitative easing (ECB, 2015c). In this thesis, we are examining the effect of this announcement on sovereign bond yields in the Eurozone using the event study methodology and by time series forecasting (ARMA). We are particularly interested to see if there have been some abnormal variations (i.e. changes) in yields following the above-mentioned announcement. Furthermore, we also examine the announcement on 4 September 2014, during which the precursor programmes to QE were announced.

We found statistically and economically significant abnormal variations in yields for our event study across all investment grade euro area government... (More)
On 22 January 2015, the ECB finally announced its expanded asset repurchase programme, better known as quantitative easing (ECB, 2015c). In this thesis, we are examining the effect of this announcement on sovereign bond yields in the Eurozone using the event study methodology and by time series forecasting (ARMA). We are particularly interested to see if there have been some abnormal variations (i.e. changes) in yields following the above-mentioned announcement. Furthermore, we also examine the announcement on 4 September 2014, during which the precursor programmes to QE were announced.

We found statistically and economically significant abnormal variations in yields for our event study across all investment grade euro area government bonds, i.e. yields have generally dropped following the announcements. The graphs we obtained using ARMA forecasting help illustrate this. (Less)
Please use this url to cite or link to this publication:
author
Badstuber, Ulrich LU and Scalzulli, Edoardo LU
supervisor
organization
course
NEKN02 20151
year
type
H1 - Master's Degree (One Year)
subject
keywords
European Central Bank, quantitative easing, event study, sovereign bonds, bond yields
language
English
id
5472471
date added to LUP
2015-06-29 13:22:50
date last changed
2015-06-29 13:22:50
@misc{5472471,
  abstract     = {On 22 January 2015, the ECB finally announced its expanded asset repurchase programme, better known as quantitative easing (ECB, 2015c). In this thesis, we are examining the effect of this announcement on sovereign bond yields in the Eurozone using the event study methodology and by time series forecasting (ARMA). We are particularly interested to see if there have been some abnormal variations (i.e. changes) in yields following the above-mentioned announcement. Furthermore, we also examine the announcement on 4 September 2014, during which the precursor programmes to QE were announced.

We found statistically and economically significant abnormal variations in yields for our event study across all investment grade euro area government bonds, i.e. yields have generally dropped following the announcements. The graphs we obtained using ARMA forecasting help illustrate this.},
  author       = {Badstuber, Ulrich and Scalzulli, Edoardo},
  keyword      = {European Central Bank,quantitative easing,event study,sovereign bonds,bond yields},
  language     = {eng},
  note         = {Student Paper},
  title        = {An empirical analysis of the ECB quantitative easing programme},
  year         = {2015},
}