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

Andrea Zaghini

We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both directly on purchased and targeted bonds and indirectly on all other bonds.The magnitude and the timing of the changes in yield spreads, coupled with the evolution of bond placements, are fully consistent with the proper unfolding the portfolio rebalancing channel.

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Year of publication:	[2019]
Authors:	Zaghini, Andrea
Publisher:	Frankfurt am Main, Germany : European Central Bank
Subject:	Quantitative easing \| unconventional monetary policy \| bond yields \| market segmentation \| Geldpolitik \| Monetary policy \| Öffentliche Anleihe \| Public bond \| Quantitative Lockerung \| Portfolio-Management \| Portfolio selection \| Marktsegmentierung \| Market segmentation \| Zinsstruktur \| Yield curve \| Kapitaleinkommen \| Capital income \| Rendite \| Yield \| Rentenmarkt \| Bond market

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Extent:	1 Online-Ressource (circa 29 Seiten) Illustrationen
Series:	Working paper series / European Central Bank. - Frankfurt, M. : European Central Bank, ISSN 1725-2806, ZDB-ID 2123559-4. - Vol. no 2264 (April 2019)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
ISBN:	978-92-899-3526-5
Other identifiers:	10.2866/685558 [DOI] hdl:10419/208297 [Handle]
Classification:	G15 - International Financial Markets ; G32 - Financing Policy; Capital and Ownership Structure ; G38 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011997427