The CSPP at Work: Yield Heterogeneity and the Portfolio Rebalancing Channel

45 Pages Posted: 8 Dec 2017

Multiple version iconThere are 2 versions of this paper

Date Written: December 5, 2017

Abstract

We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB’s quantitative easing policy, in its first year of activity (June 2016 – May 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both directly on targeted bonds and indirectly via the portfolio rebalancing channel. While spreads on eligible bonds have declined since the start of the programme (by 60 basis points in 2016), non-eligible bonds remained unaffected until 2017, when the entire corporate market recorded a further decline in spreads of 56 basis points.

Keywords: quantitative easing, CSPP, corporate bond market, portfolio rebalancing channel

JEL Classification: G15, G32, G38

Suggested Citation

Zaghini, Andrea, The CSPP at Work: Yield Heterogeneity and the Portfolio Rebalancing Channel (December 5, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1157. Available at SSRN: https://ssrn.com/abstract=3084036 or http://dx.doi.org/10.2139/ssrn.3084036

Andrea Zaghini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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