The ECB unconventional monetary policies and borrowing costs

Abstract

This dissertation aims to theoretically and empirically analyse the impact of unconventional monetary policies adopted by the ECB on the borrowing costs of banks and governments. We analyse the impact of the securities market programme, asset-backed securities purchase programme, covered bond purchase programmes 1, 2 and 3 and public sector purchase programme on the bond yields. Moreover, we also analyse the impact of some ECB exceptional liquidity provision measures. The base sample used on the empirical analysis consists of 23,525 bonds issued between January 1, 2000 and December 31, 2016, of which 1,477 are asset securitization bonds, 12,989 are covered bonds; and 8,959 are sovereign bonds. We conclude that only public sector purchase programme impacted significantly on asset securitization bonds. Contrary to we expected, this programme contributed to an increase of bond yields. Besides that, the covered bond purchase programmes 1 and 3 lead to a significant decrease of covered bond yields. Additionally, the results show that the public-sector purchase programme and the covered bond purchase programmes 1 and 3 have a significant negative impact on sovereign bonds yields.

Date of Award	28 Nov 2017
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	João Pinto (Supervisor)