Funding Behavior of Debt Management Offices and the ECB's Public Sector Purchase Program

Katharina Plessen-Mátyás, Christoph Kaufmann and Julian von Landesberger
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Katharina Plessen-Mátyás: European Central Bank
Julian von Landesberger: European Central Bank

International Journal of Central Banking, 2023, vol. 19, issue 4, 339-399

Abstract: This paper investigates whether the funding behavior of euro area debt management offices (DMOs) changed with the start of the ECB’s Public Sector Purchase Program (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former indicates a behavior of “locking in low rates for longer,” while the latter suggests the existence of an additional “demand effect” of the PSPP on DMO strategies beyond the PSPP’s effect via yields. The combined impact of the PSPP via these channels amounts to maturity extensions at issuance of about one year in our estimation.

JEL-codes: E51 E58 E63 H63 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2023:q:4:a:8

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