The local supply effect of asset purchases: evidence from the Eurosystem's CSPP

Jan Kakes, Tom Hudepohl and Casper de Haes

Working Papers from DNB

Abstract: We estimate to what extent the Eurosystem’s Corporate Sector Purchase Programme (CSPP) impacted the price of securities that were actually bought, or their close substitutes, more than the price of other securities. For own bond purchases we do not find significant local supply effects, which is in line with the Eurosystem’s market neutrality principle of asset purchases. We do, however, find significant local supply effects caused by the purchases of substitute bonds defined by similar maturities; we estimate that these effects reduce bond yields by about 40-45 basis points. Such local supply effects are more pronounced for bonds that were eligible under the CSPP than for non-eligible bonds, for bonds that have been issued more than a year ago and for bonds with relatively low credit ratings.

Keywords: monetary policy; quantitative easing; preferred habitat (search for similar items in EconPapers)
JEL-codes: C26 E43 E52 E58 (search for similar items in EconPapers)
Date: 2025-06
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:837

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