Effects of eligibility for central bank purchases on corporate bond spreads

Taneli Mäkinen (), Fan Li (), Andrea Mercatanti () and Andrea Silvestrini
Additional contact information
Fan Li: Duke University

No 1300, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The causal effect of the European Central Bank's corporate bond purchase program on bond spreads in the primary market is evaluated, making use of a novel regression discontinuity design. The results indicate that the program did not, on average, permanently alter the yield spreads of eligible bonds relative to those of noneligible. Combined with evidence from previous studies, this finding suggests the effects of central bank asset purchase programs are in no way limited to the prices of the specific assets acquired.

Keywords: asset purchase programs; corporate bonds; causal inference (search for similar items in EconPapers)
JEL-codes: C21 G18 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-eec and nep-mon
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Citations: View citations in EconPapers (5)

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Working Paper: Effects of eligibility for central bank purchases on corporate bond spreads (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1300_20

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