The PEPP’s effect on euro area bond spreads

  • Nuno Martins Carneiro (Student)

Student thesis: Master's Thesis

Abstract

This thesis aims to study the impact of the European Central Bank’s Pandemic Emergency Purchase Programme on euro area bonds. Four samples were used on the regression analysis, constituted by 8,655 corporate bonds, 2,523 sovereign bonds, 4,177 covered bonds, and 3,721 asset-backed securities issued between January 1st, 2000, and January 31st, 2023. It's observed that the PEPP successfully reduced corporate, covered, and sovereign bond spreads during the purchasing periods. Spreads for Corporate bonds also reduced in the announcement period. However, this was the only sample where the signaling effect was observed, contrary to what was expected. For asset-backed securities, no statistically significant effect is verified.
Date of Award12 Jul 2023
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJoão Pinto (Supervisor)

Keywords

  • Quantitative easing
  • ECB
  • 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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