The Impact of ECB Corporate Sector Purchases on European Green Bonds

40 Pages Posted: 23 Mar 2021

See all articles by Franziska Bremus

Franziska Bremus

German Institute for Economic Research (DIW Berlin)

Franziska Schuetze

DIW Berlin; Global Climate Forum

Aleksandar Zaklan

German Institute for Economic Research (DIW Berlin)

Date Written: March 2021

Abstract

This papers analyzes the effect of the ECB’s Corporate Sector Purchase Programme (CSPP) and the recent Pandemic Emergency Purchase Programme (PEPP) on the yields of eligible green bonds, a new but rapidly growing segment of the corporate bond market. We exploit these policy changes using a difference-in-differences strategy, with ineligible corporate green bonds is- sued in euro, U.S. dollars and Swedish crowns as comparison groups. We find that both programs significantly improve financing conditions for eligible green bonds, thereby increasing the attractiveness of these instruments to issuers and of the euro area as a location of issuance. The effects of the CSPP and PEPP are heterogeneous, both in terms of average impact and persistence of the effects. Yield differences between eligible and ineligible green bonds can last for more than six months. Our analysis informs the debate about new financing options for firms as well as about effects of asset purchase programs on the transition towards a less carbon-intensive economy.

Keywords: E52,E58,G12,G18,Q54

JEL Classification: Green bonds, bond yields, monetary policy, corporate sector purchase programme (CSPP), pandemic emer

Suggested Citation

Bremus, Franziska and Schuetze, Franziska and Zaklan, Aleksandar, The Impact of ECB Corporate Sector Purchases on European Green Bonds (March 2021). DIW Berlin Discussion Paper No. 1938, Available at SSRN: https://ssrn.com/abstract=3810492 or http://dx.doi.org/10.2139/ssrn.3810492

Franziska Bremus (Contact Author)

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Franziska Schuetze

DIW Berlin ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Global Climate Forum ( email )

Aleksandar Zaklan

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

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