The paper quantifies the effect of the European Central Bank's Corporate Sector Purchase Programme (CSPP) on the yield spreads of the bonds eligible for purchase relative to those of noneligible bonds, issued between March 2016 and December 2018. The analysis allows an assessment of whether central bank asset purchases permanently alter the relative prices of eligible and noneligible assets.
Over the period considered, the CSPP is found not to have exerted a statistically significant effect on the yield spreads of the eligible bonds relative to those of the noneligible. Combined with evidence from previous studies, this finding suggests that the effects of the programme were not limited to the eligible bonds but were also felt by their close substitutes.
Forthcoming in: Economic Modelling
