This paper provides empirical evidence about the announcement effects of ECB unconventional monetary policies during the period September 2014-July 2017.
The variables considered were selected by looking at the various channels through which unconventional measures are transmitted. We find that monetary policy news had significant effects on the exchange rate and long-term sovereign yields, especially in those countries that were most severely hit by the crisis.
Unlike previous studies, we look at the impact of announcements over different sub-periods in order to identify time-varying effects of different market conditions, policy instruments and communication strategies.
We find that the strongest effects on the exchange rates and on sovereign bonds occurred in the initial phase of the Asset Purchase Programme; instead in the most recent period, a statistically significant rise in inflation expectations was detected.
