EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-eec
Date: 2017-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.bancaditalia.it/pubblicazioni/temi-disc ... 157/en_tema_1157.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 (2019) 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:bdi:wptemi:td_1157_17

Access Statistics for this paper

More papers in Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-11-16
Handle: RePEc:bdi:wptemi:td_1157_17