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Title: Macroeconomic effects from expectations of ECB's asset purchases Authors:  Stephane Lhuissier - Banque de France (France) [presenting]
Abstract: The macroeconomic effects of anticipations about future net asset purchases of the European Central Bank (ECB) are examined. To do so, we first construct a new indicator of markets' expectations about the final size of ECB's asset purchases using on Bloomberg and Reuters surveys, conducted ahead each ECB Governing Council. We show that markets had, most of the time, anticipated the official announcements of ECB's asset purchases. Second, we use this indicator in a VAR Framework estimated on monthly data from November 2014 to June 2019. We show that an asset purchase anticipation of one percent of GDP leads to a rise of 0.14 percent in real GDP and 0.08 percent of prices. Third, we run several counterfactual simulations to establish the role of markets' expectations in shaping business cycle fluctuations.