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

Fernando Cerezo, Pablo Girón, María T. González-Pérez and Roberto Pascual
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Fernando Cerezo: Banco de España
Pablo Girón: Banco de España
María T. González-Pérez: Banco de España
Roberto Pascual: Banco de España

No 2422, Working Papers from 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.

Keywords: bond yield differentials; asset purchase programmes; quantitative easing; quantitative tightening; credit risk; liquidity risk; Eurosystem (search for similar items in EconPapers)
JEL-codes: C3 E43 E51 E58 (search for similar items in EconPapers)
Pages: 39 pages
Date: 2024-06
New Economics Papers: this item is included in nep-cba and nep-eec
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:2422

DOI: 10.53479/36797

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