EconPapers    
Economics at your fingertips  
 

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

Andrea Zaghini

No 2264, Working Paper Series from European Central Bank

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

Keywords: bond yields; market segmentation.; Quantitative easing; unconventional monetary policy (search for similar items in EconPapers)
Date: 2019-04
New Economics Papers: this item is included in nep-cba, nep-eec and nep-mon
Note: 3828417
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2264~c4382400c5.en.pdf (application/pdf)

Related works:
Journal Article: The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel (2019) Downloads
Working Paper: The CSPP at work: yield heterogeneity and the portfolio rebalancing channel (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20192264

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().

 
Page updated 2025-03-22
Handle: RePEc:ecb:ecbwps:20192264