Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/183327
Authors: 
Abidi, Nordine
Miquel-Flores, Ixart
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2145
Abstract: 
On March 10, 2016, the European Central Bank (ECB) announced the Corporate Sector Purchase Programme (CSPP) - commonly known as corporate quantitative easing (QE) - to improve the financing conditions of the Eurozone's real economy and strengthen the pass-through of unconventional monetary interventions. Using a regression discontinuity design framework that exploits the rating wedge between the ECB and market participants, we show that: (i) bond yield spreads decline by around 15 basis points at the announcement of the programme, (ii) the impact is mostly noticeable in the sample of CSPP-eligible bonds that are perceived as high yield from the viewpoint of market participants and, (iii) the CSPP seems to have stimulated new issuance of corporate bonds. Overall, our results are consistent with the explanation that highlights the portfolio rebalancing mechanism and the liquidity channel.
Subjects: 
Unconventional Monetary Policy
Corporate Quantitative Easing (QE)
Cost of Financing
Liquidity
Bond Issuance
Regression Discontinuity Design
JEL: 
E50
E52
G11
G30
G32
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3250-9
Document Type: 
Working Paper

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