The January 2015 APP impact is estimated on the basis of two eventstudy exercises by considering a broad set of events that, starting from September 2014, have affected market expectations about the programme; see Altavilla, C. Carboni, G. and Motto, R. (2015) “Asset purchase programmes and financial markets: lessons from the euro area”, ECB Working Paper No 1864, and De Santis, R. (2016), “Impact of the asset purchase programme on euro area government bond yields using market news”, ECB Working Paper No 1939.
The quantification of the impact of the December 2015 policy package on asset prices rests on a broad-based assessment comprising event studies and model-based counterfactual exercises. The impact of the March 2016 and December 2016 policy packages is assessed via model-based counterfactual exercises.