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The impact of sovereign debt purchase programms. A case study: the Spanish-to-Portuguese bond yield spread

Author

Listed:
  • Fernando Cerezo

    (Banco de España)

  • Pablo Girón

    (Banco de España)

  • María T. González-Pérez

    (Banco de España)

  • Roberto Pascual

    (Banco de España)

Abstract

This paper studies the impact of the sovereign bond purchase programmes implemented by the ECB since 2014, focusing on the dynamics of Spain to Portugal’s sovereign bond yield spread. The analysis confirms that, although fundamental fiscal, macroeconomic, and financial factors effectively explain the bond yield spread dynamics for most of the period, the ECB asset purchase programmes and the stock of long-term debt outstanding in bonds in both countries contribute to explaining the bond yield spread dynamics observed since 2020.

Suggested Citation

  • Fernando Cerezo & Pablo Girón & María T. González-Pérez & Roberto Pascual, 2024. "The impact of sovereign debt purchase programms. A case study: the Spanish-to-Portuguese bond yield spread," Working Papers 2422, Banco de España.
    • Handle: RePEc:bde:wpaper:2422
    DOI: https://doi.org/10.53479/36797
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    File URL: https://www.bde.es/f/webbe/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/24/Files/dt2422e.pdf
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    More about this item

    Keywords

    bond yield differentials; asset purchase programmes; quantitative easing; quantitative tightening; credit risk; liquidity risk; Eurosystem;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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