Funding behaviour of debt management offices and the ECB’s public sector purchase programme
Katharina Plessen-Mátyás,
Christoph Kaufmann and
Julian von Landesberger
No 2552, Working Paper Series from European Central Bank
Abstract:
This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB’s Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former indicates a behaviour 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 Classification: E52, E58, E63, H63
Keywords: Central bank asset purchases; public debt management; sovereign debt maturity structure; unconventional monetary policy (search for similar items in EconPapers)
Date: 2021-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Note: 2857527
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20212552
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