Who benefits from the corporate qe? a regression discontinuity design approach

Abstract

nordine abidi, ixart miquel-flores working paper series who benefits from the corporate qe? a regression discontinuity design approach no 2145 / april 2018 disclaimer: this paper should not be reported as representing the views of the european central bank (ecb). the views expressed are those of the authors and do not necessarily reflect those of the ecb. abstract on march 10, 2016, the european central bank (ecb) announced the corporate sector purchase programme (cspp) – commonly known as corporate quantitative easing (qe) – to improve the financing conditions of the eurozone’s real economy and strengthen the pass-through of unconventional monetary interventions. using a regression discontinuity design framework that exploits the rating wedge between the ecb and market participants, we show that: (i) bond yield spreads decline by around 15 basis points at the announcement of the programme, (ii) the impact is mostly noticeable in the sample of cspp-eligible bonds that are perceived as high yield from the viewpoint of market participants and, (iii) the cspp seems to have stimulated new issuance of corporate bonds. overall, our results are consistent with the explanation that highlights the portfolio rebalancing mechanism and the liquidity channel. jel classification: e50, e52, g11, g30, g32 keywords: unconventional monetary policy, corporate quantitative easing (qe), cost of financing, liquidity, bond issuance, regression discontinuity design. ecb working paper series no 2145 …

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