IDEAS home Printed from https://ideas.repec.org/p/dnb/dnbwpp/837.html
   My bibliography  Save this paper

The local supply effect of asset purchases: evidence from the Eurosystem's CSPP

Author

Listed:
  • Jan Kakes
  • Tom Hudepohl
  • Casper de Haes

Abstract

We estimate to what extent the Eurosystem’s Corporate Sector Purchase Programme (CSPP) impacted the price of securities that were actually bought, or their close substitutes, more than the price of other securities. For own bond purchases we do not find significant local supply effects, which is in line with the Eurosystem’s market neutrality principle of asset purchases. We do, however, find significant local supply effects caused by the purchases of substitute bonds defined by similar maturities; we estimate that these effects reduce bond yields by about 40-45 basis points. Such local supply effects are more pronounced for bonds that were eligible under the CSPP than for non-eligible bonds, for bonds that have been issued more than a year ago and for bonds with relatively low credit ratings.

Suggested Citation

  • Jan Kakes & Tom Hudepohl & Casper de Haes, 2025. "The local supply effect of asset purchases: evidence from the Eurosystem's CSPP," Working Papers 837, DNB.
    • Handle: RePEc:dnb:dnbwpp:837
    as

    Download full text from publisher

    File URL: https://www.dnb.nl/media/gpll1xiu/working_paper_no-837.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    monetary policy; quantitative easing; preferred habitat;
    All these keywords.

    JEL classification:

    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dnb:dnbwpp:837. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: DNB (email available below). General contact details of provider: https://edirc.repec.org/data/dnbgvnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.