Prague Economic Papers 2020, 29(3):291-314 | DOI: 10.18267/j.pep.729

Outreach and Effects of the ECB Corporate Sector Purchase Programme

Jakub Jakla
a University of Economics, Faculty of Finance and Accounting, Prague, Czech Republic

This paper analyses the effects of the ECB Corporate Sector Purchase Programme (CSPP) on yields of corporate sector bonds and its impact on the corporate sector's debt markets. The CSPP started as a part of an existing asset purchase programme and significantly affected corporate bond markets. Any research undertaken in this area of the ECB's respective actions is fairly limited due to the restrained access to data and its OTC nature. This paper analyses CSPP effects by using two distinct methods - a detailed regression-controlled event study and an impulse-response analysis of constructed VAR models. This study addresses questions regarding time, size and place of effects caused by the CSPP on corporate bond markets and deals in detail with related issues and related economic theory backgrounds. A series of obtained sector, country and company-specific results gives us a picture of the non-negligible impact of the CSPP on purchased bonds and of the size and persistency of stock and flow effects of the ECB's actions.

Keywords: Quantitative easing, corporate bonds, Corporate Sector Purchase Programme
JEL classification: E44, E52, G12

Received: June 20, 2018; Accepted: April 15, 2019; Prepublished online: September 3, 2019; Published: June 16, 2020  Show citation

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Jakl, J. (2020). Outreach and Effects of the ECB Corporate Sector Purchase Programme. Prague Economic Papers, 29(3), 291-314. doi: 10.18267/j.pep.729
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