The conditionality of monetary policy instruments

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Auteurs
Date

2023

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Type de document
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Identifiants
Source

HAL SHS (Sciences de l’Homme et de la Société)

Collection

Archives ouvertes

Organisation

Centre pour la communication scientifique directe

Licence

info:eu-repo/semantics/OpenAccess

Mots-clés En

monetary policy, asset prices, central bank communication, central bank reaction function, intermediate objectives

Sujets proches En

Commercial products--Prices Commodity prices Price theory Justum pretium Monetary management

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Christophe Blot et al., « The conditionality of monetary policy instruments », HAL SHS (Sciences de l’Homme et de la Société), ID : 10670/1.273729...

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We investigate the financial market effects of central bank asset purchases by exploiting the unique setting provided by ECB’s PSPP and PEPP policies. While the PSPP aimed to counter deflationary risks, the PEPP was announced to alleviate sovereign risks, these programs consist in purchases of identical assets. We assess their impacts on various asset prices. We find that they have different effects on two variables: PSPP positively affects inflation swaps whereas PEPP negatively impacts sovereign spreads, but not the opposite. We document the channels for these differentiated effects and highlight the role of clarifying the rationale of a policy.

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