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The CSPP at work: yield heterogeneity and the portfolio rebalancing channel

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  • Andrea Zaghini

    () (Bank of Italy)

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.

Suggested Citation

  • Andrea Zaghini, 2017. "The CSPP at work: yield heterogeneity and the portfolio rebalancing channel," Temi di discussione (Economic working papers) 1157, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_1157_17
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Quantitative easing; CSPP; corporate bond market; portfolio rebalancing channel;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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