An assessment of the impact of the PSPP on Spanish public bonds
Enrique Izquierdo-Cervera,
Francisco Sogorb-Mira
Abstract:Purpose
The purpose of this study is to analyse the impact of the European Central Bank’s (ECB) Public Sector Purchase Programme (PSPP) on Spanish sovereign debt.
Design/methodology/approach
The authors assess the impact of the PSPP on Spanish Government bonds from two different transmission channels (the signalling and the portfolio substitution) with two effects for each of them (the announcement and the expectation effects for the former and the stock and the rebalancing effects for the latter). The empir… Show more
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