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The CSPP at work - yield heterogeneity and the portfolio rebalancing channel

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  • Zaghini, Andrea

Abstract

We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both directly on purchased and targeted bonds and indirectly on all other bonds.The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent with the proper unfolding the portfolio rebalancing channel. JEL Classification: G15, G32, G38

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  • Zaghini, Andrea, 2019. "The CSPP at work - yield heterogeneity and the portfolio rebalancing channel," Working Paper Series 2264, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20192264
    Note: 3828417
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    More about this item

    Keywords

    bond yields; market segmentation.; Quantitative easing; unconventional monetary policy;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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