We investigate the yield impact of central bank asset purchases by considering the
bond market interventions under the ECB’s Securities Markets Programme. Based
on unique and detailed data, we find that the ECB’s interventions have lowered bond
yields on intervention days compared to the counterfactual situation of no intervention.
Our estimates for the yield impact, per e100 million of purchases, range from -0.1 basis
points to -2.0 basis points when compared to the counterfactual. Bond yield volatility
is lower on intervention days for most SMP countries. The yield impact of purchases
is in part transitory and in part persistent. For a hypothetical Euro 50 billion of total
purchases per country, the cumulated yield effects over time range from approximately
0.9% in a large country to approximately 10% in a small country. These estimated
impacts are subject to a considerable amount of estimation uncertainty.