Revisiting the Dynamic Impact of Asset Purchases: A Survey‐Based Identification
提出一种利用定量调查中资产购买公告与预期偏差的新工具，在代理VAR中识别央行资产购买冲击。基于欧元区数据发现，资产购买对产出和价格有正向影响，且效果弱于美国。
ABSTRACT We propose a novel instrument for identifying central bank asset purchase shocks in a proxy‐VAR. Our instrument exploits the deviations between asset purchase announcements and expectations inferred from quantitative surveys. Using euro area data, we find a positive impact of purchases on macroeconomic variables with high posterior probability. An asset purchase shock of 1% of GDP leads to median impacts on output and prices of 0.12% and 0.07%, respectively. The effects are three times as small as those in the US economy. Finally, we show that our instrument is stronger than high‐frequency instruments, both in terms of statistical strength and alignment with narrative evidence.