The impact of the ECB’s PEPP on Euro area bond spreads
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/11144/6572 |
Resumo: | We examine the impact of the European Central Bank’s Pandemic Emergency Purchase Programme (PEPP) on euro area banks, non-financial firms, and governments’ cost of borrowing. Using a large sample of 751 sovereign bonds, 2,116 corporate bonds, 469 covered bonds, and 725 asset-backed securities, issued in the 2018-2021 period, and subsamples of eligible bonds, we find that the PEPP successfully reduced corporate, covered, and sovereign bond spreads in both the announcement and purchasing periods, consistent with signalling, direct, and portfolio rebalancing channels of monetary policy. For asset-backed securities, the findings are mixed: while we show a spread reduction during the purchasing period for the full sample, we do not find any significant impact for bonds fulfilling eligibility criteria. Finally, we show that the PEPP’s impact on bond spreads is significantly higher for those issued in GIIPS versus core European countries. |
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The impact of the ECB’s PEPP on Euro area bond spreadsQuantitative easingPEPPcost of borrowingbond spreadsWe examine the impact of the European Central Bank’s Pandemic Emergency Purchase Programme (PEPP) on euro area banks, non-financial firms, and governments’ cost of borrowing. Using a large sample of 751 sovereign bonds, 2,116 corporate bonds, 469 covered bonds, and 725 asset-backed securities, issued in the 2018-2021 period, and subsamples of eligible bonds, we find that the PEPP successfully reduced corporate, covered, and sovereign bond spreads in both the announcement and purchasing periods, consistent with signalling, direct, and portfolio rebalancing channels of monetary policy. For asset-backed securities, the findings are mixed: while we show a spread reduction during the purchasing period for the full sample, we do not find any significant impact for bonds fulfilling eligibility criteria. Finally, we show that the PEPP’s impact on bond spreads is significantly higher for those issued in GIIPS versus core European countries.CICEE. Universidade Autónoma de Lisboa2023-07-31T09:53:56Z2022-12-01T00:00:00Z2022-12info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/11144/6572eng2184-898X |https://doi.org/10.26619/ERBE-2022.2.2.3Pinto, JoãoCosta, Tiagoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-11T02:15:32Zoai:repositorio.ual.pt:11144/6572Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:33:01.111137Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The impact of the ECB’s PEPP on Euro area bond spreads |
title |
The impact of the ECB’s PEPP on Euro area bond spreads |
spellingShingle |
The impact of the ECB’s PEPP on Euro area bond spreads Pinto, João Quantitative easing PEPP cost of borrowing bond spreads |
title_short |
The impact of the ECB’s PEPP on Euro area bond spreads |
title_full |
The impact of the ECB’s PEPP on Euro area bond spreads |
title_fullStr |
The impact of the ECB’s PEPP on Euro area bond spreads |
title_full_unstemmed |
The impact of the ECB’s PEPP on Euro area bond spreads |
title_sort |
The impact of the ECB’s PEPP on Euro area bond spreads |
author |
Pinto, João |
author_facet |
Pinto, João Costa, Tiago |
author_role |
author |
author2 |
Costa, Tiago |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Pinto, João Costa, Tiago |
dc.subject.por.fl_str_mv |
Quantitative easing PEPP cost of borrowing bond spreads |
topic |
Quantitative easing PEPP cost of borrowing bond spreads |
description |
We examine the impact of the European Central Bank’s Pandemic Emergency Purchase Programme (PEPP) on euro area banks, non-financial firms, and governments’ cost of borrowing. Using a large sample of 751 sovereign bonds, 2,116 corporate bonds, 469 covered bonds, and 725 asset-backed securities, issued in the 2018-2021 period, and subsamples of eligible bonds, we find that the PEPP successfully reduced corporate, covered, and sovereign bond spreads in both the announcement and purchasing periods, consistent with signalling, direct, and portfolio rebalancing channels of monetary policy. For asset-backed securities, the findings are mixed: while we show a spread reduction during the purchasing period for the full sample, we do not find any significant impact for bonds fulfilling eligibility criteria. Finally, we show that the PEPP’s impact on bond spreads is significantly higher for those issued in GIIPS versus core European countries. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-12-01T00:00:00Z 2022-12 2023-07-31T09:53:56Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/11144/6572 |
url |
http://hdl.handle.net/11144/6572 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
2184-898X | https://doi.org/10.26619/ERBE-2022.2.2.3 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
CICEE. Universidade Autónoma de Lisboa |
publisher.none.fl_str_mv |
CICEE. Universidade Autónoma de Lisboa |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799136809535406080 |