Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/271106 
Authors: 
Year of Publication: 
2023
Series/Report no.: 
CFS Working Paper Series No. 710
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
We analyze the effects of the PEPP (Pandemic Emergency Purchase Programme), the temporary quantitative easing implemented by the ECB immediately after the burst of the Covid-19 pandemic. We show that the differences in aim, size and flexibility with respect to the traditional Corporate Sector Purchase Programme (CSPP) were able to significantly involve, in addition to the directly targeted bonds, also the green bond segment. Via a standard difference-in-differences model we estimate that the yield on green bonds declined by more than 20 basis points after the PEPP. In order to take into account also the differences attributable to the eligibility to the programme, we employ a triple difference estimator. Bonds that at the same time were green and eligible benefitted of an additional premium of 39 basis points.
Subjects: 
Green bonds
ECB
Corporate quantitative easing
triple difference estimator
JEL: 
G15
G32
E52
C21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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