The paper analyses the effect of the PEPP on the cost of issuing debt obligations for euro-area corporations. The PEPP is a non-conventional purchase programme implemented by the ECB immediately after the outbreak of the COVID pandemic. It differs from previous measures since it is endowed with a larger amount and is more flexible. Specifically, two different bond segments are investigated: eligible green bonds and eligible non-green bonds.
By implementing a difference in difference in differences (DDD) regression (an econometric approach that can take into account the behaviour of two different control samples), we show that eligible green bonds benefited from a larger price discount than eligible non-green bonds (around 30 basis points). In addition, the same also effect involved green bonds that were non-eligible.
