Do the stress conditions of financial markets influence the effectiveness of asset purchase programs?

  • Bárbara Isabel Garrido da Silva (Student)

Student thesis: Master's Thesis


In the last decade, the major central banks around the world started to implement asset purchase programs as the primary policy instrument. This study aims to evaluate the effects of asset purchase programs' announcements conducted by the European Central Bank (ECB) on financial markets at different financial stress periods. Using an event-study methodology based on a regression analysis that explicitly controls for the level of financial stress, it was found that the announcement effect is more effective in reducing sovereign yields in peripheral countries in periods of high financial distress. Moreover, a narrowing of country yield spreads is found, with a decrease of yields of peripheral countries and a null or mild increase of yields of core countries. It is also observed that these programs had widespread consequences over the stock market and inflation expectations, especially in periods of low stress. Even though the announcements of the asset purchase programs have a strong effect on sovereign bond rates, they have a limited action under stress periods across other market segments.
Date of Award29 Jan 2021
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorCarla Sofia Soares (Supervisor)


  • Unconventional monetary policies
  • Asset purchase programs
  • Sovereign yields
  • Financial stress


  • Mestrado em Economia

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