Unconventional green

  • We analyze the effects of the PEPP (Pandemic Emergency Purchase Programme), the temporary quantitative easing implemented by the ECB immediately after the burst of the Covid-19 pandemic. We show that the differences in aim, size and flexibility with respect to the traditional Corporate Sector Purchase Programme (CSPP) were able to significantly involve, in addition to the directly targeted bonds, also the green bond segment. Via a standard difference- in-differences model we estimate that the yield on green bonds declined by more than 20 basis points after the PEPP. In order to take into account also the differences attributable to the eligibility to the programme, we employ a triple difference estimator. Bonds that at the same time were green and eligible benefitted of an additional premium of 39 basis points.

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Author:Andrea ZaghiniORCiDGND
Series (Serial Number):CFS working paper series (710)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Date of Publication (online):2023/05/03
Date of first Publication:2023/05/03
Publishing Institution:Universit├Ątsbibliothek Johann Christian Senckenberg
Release Date:2023/05/10
Tag:Corporate Quantitative Easing; ECB; Green Bonds; Triple Difference Estimator
Page Number:37
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Classification:C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C21 Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions (Updated!)
E Macroeconomics and Monetary Economics / E5 Monetary Policy, Central Banking, and the Supply of Money and Credit / E52 Monetary Policy
G Financial Economics / G1 General Financial Markets / G15 International Financial Markets
G Financial Economics / G3 Corporate Finance and Governance / G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
Licence (German):License LogoDeutsches Urheberrecht