This paper evaluates the impact of the Eurosystem's APP and PEPP purchase programmes on financial market conditions during the years 2014-21, disentangling the effect of announcements on the size of the programmes from that of their implementation. To this end, a new high-frequency identification strategy based on surveys of market analysts and narrative restrictions on implementation shocks is introduced.
The results show that both announced and actual purchases contribute to lower long-term interest rates, and raise stock prices and inflation expectations. At the height of the pandemic crisis, in spring 2020, flexibility in the implementation of purchases was decisive in counteracting the high fragmentation of financial conditions across euro-area countries.
