Unconventional Green

Center for Financial Studies Working Paper No. 710, 2023

37 Pages Posted: 3 May 2023

Date Written: May 2, 2023


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.

Keywords: Green Bonds, ECB, Corporate Quantitative Easing, Triple Difference Estimator

JEL Classification: G15, G32, E52, C21

Suggested Citation

Zaghini, Andrea, Unconventional Green (May 2, 2023). Center for Financial Studies Working Paper No. 710, 2023, Available at SSRN: https://ssrn.com/abstract=4436544 or http://dx.doi.org/10.2139/ssrn.4436544

Andrea Zaghini (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184

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