Publications

Authors:

Makinen, Taneli; Li, Fan; Mercatanti, Andrea; Silvestrini, Andrea

Title:

Causal analysis of central bank holdings of corporate bonds under interference.

Year:

2022

Type of item:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Language:

Inglese

Referee:

No

Name of journal:

ECONOMIC MODELLING

ISSN of journal:

0264-9993

N° Volume:

113

Page numbers:

1-20

Keyword:

Asset purchase programs, causal inference, interference, regression discontinuity.

Short description of contents:

We investigate whether the transfer of corporate bonds from the private sector to the balance sheet of the central bank permanently alters their relative prices. Answering this question complements the literature on central bank asset purchase programs, documenting significant relative price changes over shorter horizons. We use data on bonds issued over the duration of the European Central Bank’s corporate bond purchase program and a novel regression discontinuity design to quantify the causal effect of interest. The estimates indicate that the program did not, on average, permanently alter the yield spreads of eligible bonds relative to those of similar noneligible bonds. This finding suggests that central bank holdings of even relatively illiquid private sector securities can have no distortionary effects on the relative prices of such assets.

Product ID:

125929

Handle IRIS:

11562/1062676

Last Modified:

October 12, 2024

Bibliographic citation:

Makinen, Taneli; Li, Fan; Mercatanti, Andrea; Silvestrini, Andrea, Causal analysis of central bank holdings of corporate bonds under interference. «ECONOMIC MODELLING» , vol. 113 , 2022 , pp. 1-20

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