We assess the degree of market fragmentation in the euro-area corporate bond market by disentangling the determinants of the risk premium paid on bonds at origination. By looking at over 2,400 bonds we are able to isolate the country-specific effects which are a suitable indicator of the market...

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

We propose an additional funding tool for the collective effort against the COVID-19 pandemic and its economic fallout by issuing European Corona Solidarity Bonds (ECSBs) which are backed by revenues on a new EU-wide universal tax on financial assets, collected at the source.To combat the...

Analyzing a novel collateral haircut dataset, this paper investigates the relations between the collateral haircuts and the yields of Euro-area central government bonds. The empirical analysis shows that investors demand higher yields for bonds with higher collateral haircuts. The importance of...

The green bond market has grown strongly in recent years, especially in the euro area. With regard to the European Union’s climate targets, it is likely that the demand for green bonds-bonds that specifically support sustainable projects-will continue to increase in the future. The European...

This papers analyzes the effect of the ECB’s Corporate Sector Purchase Programme (CSPP) and the recent Pandemic Emergency Purchase Programme (PEPP) on the yields of eligible green bonds, a new but rapidly growing segment of the corporate bond market. We exploit these policy changes using a...