Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - European Central Bank - 2014
Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme … been ineffective, or worse counterproductive. We use high frequency data on purchases of the ECB Securities Markets … Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers …