The impact of the CSPP across the eurozone

Abstract

This works aims to test the efficacy of the Corporate Sector Purchasing Programme (CSPP), taking into account the financial crisis context, how the programme influenced corporate bond dynamics and its impact across the eurozone countries. To test the performance of this policy, 1,202 corporate bonds, from 310 publicly traded non-financial companies, established in one of 19-eurozone countries, over 20 years were taken into account. Results are based on the comparison of two subsamples, the pre-CSPP (2000-2015) which includes the pre-crisis and crisis period and the CSPP period (2016-2020). The empirical results indicate that one of the main variables in explaining yield spreads are credit rating. This is controversial, as the overreliance on these indicators is seen by many as one of the culprits in the financial crisis. Observing time subsamples, the CSPP announcement and implementation period produced a reduction in yields from 154 bps to 128 bps. Achieving the desired yield tightening. Geographically, neutrality is observed, with all members countries benefiting, particularly the GIIPS. With the results from the available data is possible to consider the programme a success, as it provides less expensive funding for companies all over the eurozone.

Date of Award	3 Dec 2021
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Paulo Alves (Supervisor)