The impact of the ECB’s CSPP on non-financial firms' cost of borrowing and debt source

Abstract

This Master’s Final Assignment studies the impact of the ECB’s quantitative easing, in particular the Corporate Purchase Sector Programme (CSPP), on euro area non-financial firms, from January 1, 2000 to December 31, 2019. We assess the pricing determinants of bonds and loans, and how firms choose between these two debt typologies, with a focus on the primary market. We find that the CSPP (i) reduced the spread of bonds for the global sample, in the eligible sample and for the high-information sample, (ii) had a spillover effect into the overall loan market and eligible loans, reducing its spreads, and (iii) increased the propensity of choosing loans over bonds, for the full sample, but increased the likelihood of issuing bonds over loans for the eligible and high information samples.

Date of Award	5 Jul 2021
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	João Pinto (Supervisor)