AD ALTA
JOURNAL OF INTERDISCIPLINARY RESEARCH
Tab. 1: The EU indices – descriptive statistics
Obs.
Mean
Median
St. Dev.
Kurt.
Skew.
Min.
Max.
Sum
CAC
2820
0.01%
0.03%
1.46%
6.7723
0.1827
-9.04%
11.18%
20.00%
DAX
2820
0.02%
0.06%
1.42%
6.5652
0.1664
-7.16%
11.40%
62.96%
Eurostoxx50
2820
0.00%
0.00%
1.47%
6.1834
0.1041
-8.62%
11.00%
-0.70%
FTSEMIB
2820
-0.01%
0.03%
1.69%
4.6137
-0.0262
-12.48%
11.49%
-26.02%
Stoxx600
1476
0.02%
0.05%
0.96%
4.5893
-0.5153
-7.03%
4.20%
27.58%
Source: Own elaboration. Data retrieved from Investing.com
In Tab. 2 we present announcements considered as events for the
European markets, compiled of every single press release of the
ECB from 2008 to 2019Q1, where type of meeting or
announcement is shown in second column, with date of
announcement in first column. Third column refers to which
particular UMP programme is event/announcement linked, with
short description highlighting most important part of such
announcement. Tab. 2 consists only of announcements linked to
UMP and its’ programmes, including also predecessors of the
APP (recognized as the QE) which started in 2015. Since
previous programmes are also identified as nonstandard or
unconventional monetary policy instruments and represents
assets purchases to some extent, we added them to our study, in
order to increase robustness of this analysis.
Tab. 2: The ECB’s announcements
Date
Event
Description
13.12.2018
ECB Press Release
“Regarding non-standard monetary policy measures, the net purchases under the asset purchase programme (APP) will end in December 2018. At
the same time, the Governing Council is enhancing its forward guidance on reinvestment. Accordingly, the Governing Council intends to continue
reinvesting, in full, the principal payments from maturing securities purchased under the APP for an extended period of time past the date when it
starts raising the key ECB interest rates, and in any case for as long as necessary to maintain favourable liquidity conditions and an ample degree of
monetary accommodation.”
14.06.2018
ECB Press Release
“The Governing Council anticipates that, after September 2018, subject to incoming data confirming the Governing Council’s medium-term
inflation outlook, the monthly pace of the net asset purchases will be reduced to € 15 bn until the end of December 2018 and that net purchases will
then end. The Governing Council expects the key ECB interest rates to remain at their present levels at least through the summer of 2019 and in
any case for as long as necessary to ensure that the evolution of inflation remains aligned with the current expectations of a sustained adjustment
path.”
25.01.2018
ECB Press Release
“Regarding non-standard monetary policy measures, the Governing Council confirms that the net asset purchases, at the new monthly pace of € 30
bn, are intended to run until the end of September 2018, or beyond, if necessary, and in any case until the Governing Council sees a sustained
adjustment in the path of inflation consistent with its inflation aim.”
26.10.2017
ECB Press Release
APP expanded, monthly pace reduction from € 60 bn/m to € 30 bn/m from 1/2018.
15.12.2016
ECB Press Release
ABSPP change: “The Governing Council of the European Central Bank (ECB) decided yesterday that the Asset-Backed Securities Purchase
Programme (ABSPP) should be fully implemented by national central banks rather than relying on the support from external managers.”
08.12.2016
ECB Press Release
APP extended to December 2017, monthly pace reduction from € 80 bn/m to € 60 bn/m from 4/2017.
10.03.2016
ECB Press Release
ECB announces new series of targeted longer-term refinancing operations (TLTRO II) + ECB adds corporate sector purchase programme (CSPP) to
the asset purchase programme (APP) and announces changes to APP – APP expanded to € 80 bn from April.
09.11.2015
ECB Press Release
Public sector purchasing programme (PSPP) – “As of 10 November 2015, the PSPP issue share limit will be set at 33% per ISIN. This higher issue
limit allows for a significant increase in the purchasable amount both for outstanding and for newly issued PSPP eligible securities.”
23.09.2015
ECB Press Release
Asset backed securities purchase programme (ABSPP) – Technical details – “The Governing Council of the European Central Bank (ECB) decided
to increase the proportion of purchases by national central banks rather than external managers in the Asset-Backed Securities Purchase
Programme, as announced when the programme was first launched.”
22.01.2015
ECB press
conference MPD-GC
Asset purchase programme (APP) initial announcement.
30.10.2014
ECB Press Release
Technical details - ECB appoints executing asset managers for the ABSPP – “The purchases under the ABSPP are expected to start in November
2014, following the approval by the Governing Council of a legal act on the implementation of the programme.”
02.10.2014
ECB Press Release
ABSPP + CBPP - technical details – “programmes will last at least two years”.
18.09.2014
ECB Press Release
“The European Central Bank has today allotted € 82.6 bn to 255 counterparties in the first of eight targeted longer-term refinancing operations
(TLTROs) to be conducted between September 2014 and June 2016. The programme is designed to enhance the functioning of the monetary policy
transmission mechanism by supporting bank lending to the real economy.”
03.07.2014
ECB Press Release
Long-term refinancing operation (LTRO) – technical details – “For banks that exhibited positive eligible net lending in the twelve-month period to
30 April 2014, the benchmarks are always set at zero.”
04.06.2014
ECB Press Release
In pursuing its price stability mandate, the Governing Council of the ECB has today announced measures to enhance the functioning of the
monetary policy transmission mechanism by supporting lending to the real economy. In particular, the Governing Council has decided: 1. To
conduct a series of targeted longer-term refinancing operations (TLTROs) aimed at improving bank lending to the euro area non-financial private
sector, excluding loans to households for house purchase, over a window of two years. 2. To intensify preparatory work related to outright
purchases of asset-backed securities (ABS).
06.12.2012
ECB press
conference MPD-GC
LTRO + MRO.
31.10.2012
ECB Press Release
Covered bond purchase programme 2 (CBPP2).
06.09.2012
Governing Council
Press Release
Announcement of the ECB short-term sovereign bond purchase program (Outright Monetary Transactions, OMT). No purchases were conducted
within this program as of July 2014.
02.08.2012
ECB press
conference
Outright monetary transactions (OMT).
26.07.2012
M. Draghi speech
M. Draghi promised to do “whatever it takes to save the euro.” This speech triggered the expectations of ECB intervention in the sovereign
markets.
08.12.2011
Governing Council
Press Release
Announcement of the three-year longer-term refinancing operations (LTROs). ECB banks were given the opportunity to obtain all liquidity needed
for the period of three years at the interest rate fixed at the average rate of the main refinancing operations over the life of the operation.
06.10.2011
Governing Council
Press Release
Announcement ECB covered bond purchase programs (CBPP2) designed to purchase covered bonds, i.e., securities issued by credit institutions
backed by mortgages and public-sector debt.
07.08.2011
Governing Council
Press Release
Reactivation of SMP announced on Sunday, August 7, 2011, when the Spanish and Italian sovereign bond markets came under tension.
30.06.2010
Governing Council
Press Release
CBPP / LTRO.
10.05.2010
Governing Council
Press Release
Announcement of the longer-term sovereign bond purchase program (Securities Markets Programme, SMP). The ECB Governing Council decided
to launch the SMP in the midst of the Greek crisis on Sunday, May 9, 2010. A related press release was published the next day.
07.05.2009
Governing Council
Press Release
Announcement of ECB covered bond purchase program (CBPP1) designed to purchase covered bonds, i.e., securities issued by credit institutions
backed by mortgages and public-sector debt.
15.10.2008
Governing Council
Press Release
Announcement of the fixed-rate full-allotment (FRFA) procedure: Long-term Refinancing Operations (LTRO).
13.10.2008
Governing Council
Press Release
Announcement of the fixed-rate full-allotment (FRFA) procedure: US dollar funding.
08.10.2008
Governing Council
Press Release
Announcement of the fixed-rate full-allotment (FRFA) procedure: Main Refinancing Operations (MRO).
28.03.2008
Governing Council
Press Release
Long-term refinancing operation (LTRO).
Note: MPD-GC – Monetary Policy Department, Governing Council; Similar announcements used as events regarding UMP could be found
in Szczerbowicz (2015) or Sosvilla-Rivero & Fernández-Fernández (2015).
Source: Own elaboration. Information retrieved from the ECB.
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