We assess the yield impact of asset purchases within the ECB's Securities Markets
Programme in five euro area sovereign bond markets during 2010-11. Identification is non-
trivial and based on time series panel data regression on predetermined purchases and
control covariates. In addition to large and economically significant announcement effects,
we find an average impact at the five year maturity per e1 bn of bond purchases of
approximately-1 to-2 bps (Italy),-3 bps (Ireland),-4 to-6 bps (Spain),-6 to-9 bps (Portugal) …

We assess the yield impact of asset purchases within the ECB's Securities Markets
Programme in five euro area sovereign bond markets during 2010-11. Identification is non-
trivial and based on time series panel data regression on predetermined purchases and
control covariates. In addition to large and economically significant announcement effects,
we find an average impact at the five year maturity per e1 bn of bond purchases of
approximately-1 to-2 bps (Italy),-3 bps (Ireland),-4 to-6 bps (Spain),-6 to-9 bps (Portugal) …