The Covid pandemic in the market: infected, immune and cured bonds
Andrea Zaghini
No 2563, Working Paper Series from European Central Bank
Abstract:
By focusing on the cost conditions at issuance, I find that not only the Covid-19 pandemic effects were different across bonds and firms at different stages, but also that the market composition was significantly affected, collapsing on investment-grade bonds, a segment in which the share of bonds eligible to the ECB corporate programmes strikingly increased from 15% to 40%. Contemporaneously, the high-yield segment shrunk to almost disappear at 4%. Another source of risk detected in the pricing mechanism is the weak resilience to pandemic: the premium requested is around 30 bp and started to be priced only after the early containment actions taken by the national authorities. On the contrary, I do not find evidence supporting an increased risk for corporations headquartered in countries with a reduced fiscal space, nor the existence of a premium in favour of green bonds, which should be the backbone of a possible “green recovery”. JEL Classification: G15, G32, E52
Keywords: corporate quantitative easing; Covid pandemic; ECB; green bonds (search for similar items in EconPapers)
Date: 2021-06
New Economics Papers: this item is included in nep-cba and nep-eec
Note: 3828417
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Citations: View citations in EconPapers (2)
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Working Paper: The Covid pandemic in the market: Infected, immune and cured bonds (2021) 
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20212563
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