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Advisor(s)
Abstract(s)
This Dissertation explores the effects of the large-scale asset purchase programs launched by the European Central Bank in 2014 and by the Federal Reserve in 2008 and compare the results across the two economies. We start by investigating whether the programs had effects in reducing financial market tensions by analyzing the daily behavior of some market indicators around important announcement dates. Then, by employing a standard VAR, we analyze the impact of an asset purchase shocks in main macroeconomic indicators, such as output and prices, and in financial markets indicators, such as bond yields and stock prices. From the first analysis, the results suggest that both Central Banks made announcements that had immediate effects in reducing bond yields, depreciating the domestic currency and boosting stock prices. From the VAR analysis, we conclude that the US program was more effective in rising output, inflation and stock prices than the ECB program, and that both programs were able to decrease both long term government and corporate bond yields of the respective economy. However, it was found stronger evidence for the US dollar depreciation during the US period studied than for the euro area domestic currency depreciation during the ECB program.
I would like to thank my supervisor, Professor Carla Soares, for all the support, dedication and availability demonstrated during all the thesis semester. Without the comments and advices given throughout the period, I would never been able to submit the present dissertation. Thank you very much for this opportunity to work together with you. I would also like to thank my family, for all the help and motivation given throughout my whole life, and specially my parents, João and Isabel, that have playing a huge an important role in my life and education. Further, I would like to thank all my friends, for the support and confidence provided during this period, that helped me facing the problems that eventually occurred while working on the dissertation. Lastly, I would like to thank the University Católica-Lisbon for having contributed towards my interest in finance, that has encouraged me into approaching this topic.
I would like to thank my supervisor, Professor Carla Soares, for all the support, dedication and availability demonstrated during all the thesis semester. Without the comments and advices given throughout the period, I would never been able to submit the present dissertation. Thank you very much for this opportunity to work together with you. I would also like to thank my family, for all the help and motivation given throughout my whole life, and specially my parents, João and Isabel, that have playing a huge an important role in my life and education. Further, I would like to thank all my friends, for the support and confidence provided during this period, that helped me facing the problems that eventually occurred while working on the dissertation. Lastly, I would like to thank the University Católica-Lisbon for having contributed towards my interest in finance, that has encouraged me into approaching this topic.
Description
Keywords
Asset purchase program effects Unconventional monetary policy VAR Quantitative easing Announcement dates