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

Andrea Zaghini

No 1157, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB’s quantitative easing policy, in its first year of activity (June 2016 – May 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both directly on targeted bonds and indirectly via the portfolio rebalancing channel. While spreads on eligible bonds have declined since the start of the programme (by 60 basis points in 2016), non-eligible bonds remained unaffected until 2017, when the entire corporate market recorded a further decline in spreads of 56 basis points.

Keywords: Quantitative easing; CSPP; corporate bond market; portfolio rebalancing channel (search for similar items in EconPapers)
JEL-codes: G15 G32 G38 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel (2019)
Working Paper: The CSPP at work - yield heterogeneity and the portfolio rebalancing channel (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1157_17

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