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Outreach and Effects of the ECB Corporate Sector Purchase Programme

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  • Jakub Jakl

Abstract

This paper analyses the effects of the ECB Corporate Sector Purchase Programme (CSPP) on yields of corporate sector bonds and its impact on the corporate sector's debt markets. The CSPP started as a part of an existing asset purchase programme and significantly affected corporate bond markets. Any research undertaken in this area of the ECB's respective actions is fairly limited due to the restrained access to data and its OTC nature. This paper analyses CSPP effects by using two distinct methods - a detailed regression-controlled event study and an impulse-response analysis of constructed VAR models. This study addresses questions regarding time, size and place of effects caused by the CSPP on corporate bond markets and deals in detail with related issues and related economic theory backgrounds. A series of obtained sector, country and company-specific results gives us a picture of the non-negligible impact of the CSPP on purchased bonds and of the size and persistency of stock and flow effects of the ECB's actions.

Suggested Citation

  • Jakub Jakl, 2020. "Outreach and Effects of the ECB Corporate Sector Purchase Programme," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(3), pages 291-314.
    • Handle: RePEc:prg:jnlpep:v:2020:y:2020:i:3:id:729:p:291-314
    DOI: 10.18267/j.pep.729
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    More about this item

    Keywords

    Quantitative easing; corporate bonds; Corporate Sector Purchase Programme;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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