A theoretical and empirical analysis of the ECB’s response to the COVID-19 pandemic

  • Tiago Oliveira Marques da Costa (Student)

Student thesis: Master's Thesis

Abstract

This thesis aims to examine the impact of the European Central Bank’s Pandemic Emergency Purchase Programme on euro area banks, non-financial firms, and governments cost of borrowing. The base sample used on the regression analysis is constituted by 751 sovereign bonds, 2116 corporate bonds, 469 covered bonds, and 725 asset-backed securities issued between January 1st, 2019, and December 31st,2021. Furthermore, a subsample was created to account for the bonds that are eligible for the PEPP. We find that the PEPP successfully reduced corporate, covered, and sovereign bond spreads in both the announcement and purchasing periods. For asset-backed securities, contrary to what we expected, the findings are not as clear as we find mixed results between the full sample, in which we observed a spread reduction during the purchasing periods and the subsample in which we do not find any significant impact.
Date of Award16 Dec 2022
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJoão Pinto (Supervisor)

Keywords

  • Quantitative easing
  • European Central Bank
  • PEPP
  • Cost of borrowing
  • Spreads
  • Unconventional monetary policies
  • Corporate bonds
  • Sovereign bonds
  • Covered bonds
  • Asset-backed securities

Designation

  • Mestrado em Finanças

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