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Title: An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies

Author(s): Jonathan S. Hartley and Alessandro Rebucci

Publication Date: June 2020

Keyword(s): Bond Interest Rates, central banks, COVID-19, event study, International Bond Markets, monetary policy, Policy Announcements and Quantitative easing

Programme Area(s): Financial Economics, International Macroeconomics and Finance and Monetary Economics and Fluctuations

Abstract: Amid the COVID-19 outbreak and related expected economic downturn, many developed and emerging market central banks around the world engaged in new long-term asset purchase programs, or so-called quantitative easing (QE) interventions. This paper conducts an event-study analysis of 20 COVID-19 QE announcements made by 17 global central banks on their local 10-year government bond yields. We find that the average developed market QE announcement had a statistically significant -0.14% 1-day impact, which is slightly smaller than past interventions during the Great Recession era. In contrast, the average impact of emerging market QE announcements was significantly larger, averaging -0.37% and -0.63% over 1-day and 3-day windows, respectively. Across developed and emerging bond markets, we estimate an overall average 1-day impact of -0.27%. We also show that all 10-year government bond yields in our sample rose sharply in mid-March 2020, but fell substantially after the period of QE announcements that we study in the paper.

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Bibliographic Reference

Hartley, J and Rebucci, A. 2020. 'An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=14841