QUANTITATIVE EASING: DID IT REALLY REDUCE SOVEREIGN YIELDS IN THE EMU?

The aim of this paper is to assess the effect of the asset purchase program of the European Central Bank on sovereign bond yields in European Monetary Union (EMU), by constructing a panel of euro-zone countries (AST, BEL, FIN, FRA, ITA, IRE, NET, SPA, POR) and not EMU countries (CAN, JAP, SWE, UK, US). The empirical analysis is preceded by a theoretical investigation of unconventional monetary tools of central banks, with special regards to quantitative easing. The results suggest possible impact of asset purchases on yields decline.