We investigate the financial market effects of central bank asset purchases by exploiting the unique setting provided by ECB’s PSPP and PEPP policies. While the PSPP aimed to counter deflationary risks, the PEPP was announced to alleviate sovereign risks, these programs consist in purchases of identical assets. We assess their impacts on various asset prices. We find that they have different effects on two variables: PSPP positively affects inflation swaps whereas PEPP negatively impacts sovereign spreads, but not the opposite. We document the channels for these differentiated effects and highlight the role of clarifying the rationale of a policy.