Funding Behaviour of Debt Management Offices and the ECB's Public Sector Purchase Programme

47 Pages Posted: 19 May 2021

See all articles by Katharina Plessen-Mátyás

Katharina Plessen-Mátyás

European Central Bank (ECB)

Christoph Kaufmann

European Central Bank

Julian von Landesberger

European Central Bank (ECB)

Date Written: May, 2021

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.

JEL Classification: E52, E58, E63, H63

Suggested Citation

Plessen-Mátyás, Katharina and Kaufmann, Christoph and von Landesberger, Julian, Funding Behaviour of Debt Management Offices and the ECB's Public Sector Purchase Programme (May, 2021). ECB Working Paper No. 2021/2552, Available at SSRN: https://ssrn.com/abstract=3848327 or http://dx.doi.org/10.2139/ssrn.3848327

Katharina Plessen-Mátyás (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Christoph Kaufmann

European Central Bank ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Julian Von Landesberger

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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