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We analyze the impact of the European Central Bank (ECB) announcement regarding the start of
direct corporate bond purchases through the Corporate Sector Purchase Programme (CSPP). For
the Euro area the announcement led to a generalized yield decrease. Through a
Difference-in-Differences (DiD) methodology, we document that the impact of the announcement
on non-eligible bonds’ yields was greater than on eligible ones. When controlling at credit rating
and country level, the evidence that the announcement caused a partial mitigation on the decrease
of eligible bonds’ yields is even greater. Thus our analysis provides support for a dominance of
CSPP indirect effect and evidence in support of the portfolio rebalancing theory. For the case of
Portugal, the announcement had a more positive effect over CSPP-eligible securities.
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Corporate CSPP ECB Portugal Quantitative easing Unconventional monetary policy Yields