We investigate the impact of Asset Purchase Programs by 14 EME central banks during COVID-19, finding a statistically significant effect in compressing bond spreads vis-à-vis the US. A counterfactual analysis shows that without APPs, EME bond spreads would have been higher. Country-specific VAR impulse response functions indicate that a shock imposed on asset purchases becomes persistent on bond spreads after around 5 – 10 days, with a peak effect of around 40 basis points. Persistent stabilizing effects are also found on exchange rates and capital flow volatility, while stock markets and inflation expectations are overall not affected by the APPs.

我们调查了 14 家新兴市场经济体中央银行在 COVID-19 期间实施的资产购买计划的影响，发现在压缩与美国的债券利差方面具有统计学意义。反事实分析表明，如果没有 APP，EME 债券利差会更高。特定国家/地区的 VAR 脉冲响应函数表明，对资产购买施加的冲击在大约 5-10 天后对债券利差产生持续影响，峰值效应约为 40 个基点。汇率和资本流动波动也有持续的稳定作用，而股市和通胀预期总体上不受 APP 的影响。