Details

Autor(en) / Beteiligte

• Todorov, Karamfil

Titel

Quantify the quantitative easing: Impact on bonds and corporate debt issuance

Ist Teil von

• Journal of financial economics, 2020-02, Vol.135 (2), p.340-358

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

2020

Link zum Volltext

Quelle

Elsevier ScienceDirect Journals

Beschreibungen/Notizen

• This paper studies the impact of the European Central Bank’s (ECB) Corporate Sector Purchase Programme (CSPP) announcement on prices, liquidity, and debt issuance in the European corporate bond market using a data set on bond transactions from Euroclear. I find that the quantitative easing (QE) programme increased prices and liquidity of bonds eligible to be purchased substantially. Bond yields dropped on average by 30 basis points (bps) (8%) after the CSPP announcement. Tri-party repo turnover rose by 8.15 million USD (29%), and bilateral turnover went up by 7.05 million USD (72%). Bid-ask spreads also showed significant liquidity improvement in eligible bonds. QE was successful in boosting corporate debt issuance. Firms issued 2.19 billion EUR (25%) more in QE-eligible debt after the CSPP announcement, compared to other types of debt. Surprisingly, corporates used the attracted funds mostly to increase dividends. These effects were more pronounced for longer-maturity, lower-rated bonds, and for more credit-constrained, lower-rated firms.