Who Benefits from the ECB's Corporate Sector Purchase Programme? A Difference-in-Discontinuities Approach

Abidi, Nordine; Miquel-Flores, Ixart; Eterovic, Nicolás A.

doi:10.2139/ssrn.2914911

Cited by 23 publications

(30 citation statements)

References 2 publications

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“…In particular, while across different rounds of QE there is no statistically significant impact of government bond purchases on corporate issuance, in the case of the CBPS, corporate bond purchases have positive and statistically significant effects on sterling denominated corporate bond issuance. This aspect of our findings is consistent with the evidence reported in recent studies of the European Central Bank's (ECB) Corporate Sector Purchase Program (CSPP) (see, Abidi and Miquel-Flores, 2018;Todorov, 2018;Zaghini, 2019).…”

Section: Introductionsupporting

confidence: 92%

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

D’Amico

Kaminska

2019

SSRN Journal

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Using security-level data, we analyse the effects of the Bank of England's multiple rounds of gilt purchases (aka Quantitative Easing, QE) and its Corporate Bond Purchase Scheme (aka Credit Easing, CE) on corporate bond prices and issuance. This allows direct estimation of (i) QE's cross-asset supply effects and (ii) the joint supply effects of QE and CE. We show that in the case of QE alone, the pass-through of the gilt supply shock to corporate bond prices is significant, is larger in the longer-run than at announcement, and is often limited to the default-free component of the corporate yield. In the case of the joint conduct of QE and CE, we find that the CE is more effective than QE in reducing credit spreads, especially for higher-rated bonds, and in stimulating corporate bond issuance, which responds quite rapidly to the corporate bond supply shock.

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Section: Introductionsupporting

confidence: 92%

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

D’Amico

Kaminska

2019

SSRN Journal

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“…Several studies focus explicitly on ECB's APP: Georgiadis and Gräb (2016) investigate the impact of announcing the complete Eurosystem APP program on the euro exchange rate, global equity prices and bond yields. Abidi et al (2017) use an event study to investigate the ex ante effect of the announcement of the CSSP program in March 2016. They distinguish the differential announcement effect on bonds that are eligible versus those that are not eligible, and find evidence of significant announcement effects.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Eser and Schwaab, 2016;Fratzscher et al, 2016;Joyce et al, 2011). In particular, several recent concurrent papers (Abidi et al, 2017;Arce et al, 2017;Grosse-Rueschkamp et al, 2017) have addressed the European CSPP specifically. Our study augments this emerging literature on two salient dimensions.…”

Section: Introductionmentioning

confidence: 99%

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

Galema

Lugo

2017

SSRN Journal

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In March 2016 the European Central Bank (ECB) announced the Corporate Sector Purchase Program (CSPP) as part of its expanded asset purchase program. Using hand-collected, weekly lists of bonds purchased and held under the CSPP, we investigate the drivers of the purchase decisions and the impact of the program on the financing decisions of targeted firms. We find that, consistent with the goal of decreasing credit premia while minimizing price distortions, purchases of eligible bonds characterized by both higher credit risk and higher liquidity are more likely and more timely. Bonds issued by firms more likely to face difficulties in tapping the credit market directly are also more likely to be purchased. The CSPP appears effective in alleviating these difficulties. Firms targeted by the program increase their amount of bonds outstanding significantly more than non-targeted eligible issuers; the effect is mostly driven by companies making limited use of market debt before the start of the program. However, no difference is found in the variation of total debt between targeted and non-targeted eligible issuers. Together, these results suggest that the CSPP has favored the substitution of bonds for other forms of debt capital.

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“…In contrast, my study explicitly focuses on banks and tests for the hypotheses developed above, which are motivated by the stylized fact that the relative price between credit and securities has changed in Germany. As opposed to Albertazzi et al (2018) I find that 6 Further papers studying the effects of unconventional monetary policy include: Grosse-Rueschkamp, Steffen, and Streitz (2017), Arce, Gimeno, and Mayordomo (2017), and Abidi, Miquel Flores, and Eterovic (2017) all analyze the effects of the ECB's Corporate Bond Purchase Program. Acharya, Eisert, Eufinger, and Hirsch (2017), and Ferrando, Popov, and Udell (2016) banks with greater yield declines reduce their security holdings (besides increasing their credit granting).…”

Section: Related Literaturementioning

confidence: 89%

Unconventional Monetary Policy, Bank Lending, and Security Holdings: The Yield-Induced Portfolio-Rebalancing Channel

Paludkiewicz¹

2019

J. Financ. Quant. Anal.

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This article studies the impact of unconventional monetary policy on bank lending and security holdings. I exploit granular security register data and use a difference- in-differences regression setup to provide evidence for a yield-induced portfolio rebalancing: Banks experiencing large average yield declines in their securities portfolio, induced by unconventional monetary policy, increase their real-sector lending more strongly relative to other banks. The effect is stronger for banks facing many reinvestment decisions. Moreover, I find that banks with large yield declines reduce their government bond holdings and sell securities bought under the asset-purchase program of the European Central Bank (ECB).

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Who Benefits from the ECB's Corporate Sector Purchase Programme? A Difference-in-Discontinuities Approach

Cited by 23 publications

References 2 publications

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

Credit Easing versus Quantitative Easing: Evidence From Corporate and Government Bond Purchase Programs

When Central Banks Buy Corporate Bonds: Target Selection and Impact of the European Corporate Sector Purchase Program

Unconventional Monetary Policy, Bank Lending, and Security Holdings: The Yield-Induced Portfolio-Rebalancing Channel

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