Template-Type: ReDIF-Paper 1.0
Author-Name: Taneli Mäkinen
Author-X-Name-First: Taneli
Author-X-Name-Last: Mäkinen
Author-Name: Fan Li
Author-X-Name-First: Fan
Author-X-Name-Last: Li
Author-Name: Andrea Mercatanti
Author-X-Name-First: Andrea
Author-X-Name-Last: Mercatanti 
Author-Name: Andrea Silvestrini
Author-X-Name-First: Andrea
Author-X-Name-Last: Silvestrini
Title: Effects of eligibility for central bank purchases on corporate bond spreads
Abstract: The causal effect of the European Central Bank's corporate bond purchase program on bond spreads in the primary market is evaluated,making use of a novel regression discontinuity design. The results indicate that the program did not, on average, permanently alter the yield spreads of eligible bonds relative to those of noneligible. Combined with evidence from previous studies, this finding suggests the effects of central bank asset purchase programs are in no way limited to the prices of the specific assets acquired.
Length: 33 pages
Creation-Date: 2020-10
File-URL: https://www.bis.org/publ/work894.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work894.htm
File-Format: text/html
Number: 894
Keywords: asset purchase programs, corporate bonds, causal inference
Classification-JEL: C21, G18
Handle: RePEc:bis:biswps:894