Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237691 
Year of Publication: 
2021
Series/Report no.: 
ECB Working Paper No. 2552
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
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, which compares to the average issuance maturity for Germany, France, Italy and Spain before the PSPP of four years. Our finding that DMOs extend maturities when funding conditions ease invites further work on the economic implications of public debt management during the PSPP and its relevance for monetary policy transmission.
Subjects: 
Central bank asset purchases
unconventional monetary policy
public debtmanagement
sovereign debt maturity structure
JEL: 
E52
E58
E63
H63
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4552-3
Document Type: 
Working Paper

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