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O objetivo deste trabalho é investigar os impactos do programa de compra de ativos (APP) sobre o custo de financiamento dos países e empresas da zona euro. Para a análise empírica, foram consideradas 23.283 observações que são divididas em duas categorias: 9.053 obrigações soberanas (SB) e 14.830 obrigações emitidas por empresas não financeiras (CB), entre 1 de janeiro de 2000 e 31 de dezembro de 2016, em países da zona euro. O método usado para dar resposta às questões de investigação foi a utilização de uma regressão OLS (método dos mínimos quadrados).
Os resultados mostraram que os seguintes programas de compra de ativos: CBPP1 e CBPP3, atingiram os objetivos do BCE e contribuíram positivamente para a redução dos custos de financiamento de médio prazo dos Estados e empresas da zona euro. Por outro lado, o CBPP2 e o CSPP tiveram um efeito negativo na política do BCE, tendo levado a um aumento dos yields.
Além disso, foi demonstrado que nos PIIGS, somente o CBPP3 teve o efeito desejado de redução do YTM no mercado de CB. Por outro lado, o CBPP2 provocou um aumento na YTM das emissões de CB nos PIIGS. Em relação ao impacto dos SB no YTM dos PIIGS, verificou-se que tanto o CBPP1, como o CBPP3 tiveram um efeito positivo de redução do YTM, enquanto os programas CBPP2 e CSPP tiveram efeito adverso face ao que seria esperado pelo BCE, uma vez que estes levaram a um aumento dos YTM nos PIIGS.
Finalmente, os resultados também revelaram que as variáveis que tiveram o efeito mais significativo sobre rendimentos yields de SB e CB para os países e empresas localizadas nos PIIGS foram: a crise de dívida soberana, a taxa isenta de risco e a variável “tranche to transaction”.
The purpose of this work is to investigate the impacts of the ECB asset purchase programme (APP) on the cost of funding by countries and companies from the eurozone. For the empirical analysis, it was considered 23,283 observations that are divided into two categories: 9,053 sovereign bonds and 14,830 corporate bonds, issued by eurozone states and corporates between January 1, 2000 and December 31, 2016. The method used to answer the research questions was an OLS regression (least squares method). The results showed that the following asset purchase programs: CBPP1 and CBPP3 met the ECB goals and contributed positively to the reduction of the medium-term financing costs of euro area states and companies. On the other hand, CBPP2 and CSPP had an adverse effect on ECB policy, leading to an increase in yields. Furthermore, it was demonstrated that in PIIGS, only CBPP3 had the desired effect of YTM reduction in the CB issues. On the other hand, as in the emissions of German companies, CBPP2 caused an increase in the YTM of CB emissions in PIIGS. Regarding the impact of SB on PIIGS YTMs, it was found that both CBPP1 and CBPP3 had a reducing effect, whereas the CBPP2 and CSPP programs had an adverse effect on what was expected from the ECB, since they led to an increase of the YTM in PIIGS. Finally, the results also displayed that the variables that have had the most significant effect on the SB and CB yield to maturity of PIIGS were the sovereign debt crisis, the risk-free rate and the “tranche to transaction” variable.
The purpose of this work is to investigate the impacts of the ECB asset purchase programme (APP) on the cost of funding by countries and companies from the eurozone. For the empirical analysis, it was considered 23,283 observations that are divided into two categories: 9,053 sovereign bonds and 14,830 corporate bonds, issued by eurozone states and corporates between January 1, 2000 and December 31, 2016. The method used to answer the research questions was an OLS regression (least squares method). The results showed that the following asset purchase programs: CBPP1 and CBPP3 met the ECB goals and contributed positively to the reduction of the medium-term financing costs of euro area states and companies. On the other hand, CBPP2 and CSPP had an adverse effect on ECB policy, leading to an increase in yields. Furthermore, it was demonstrated that in PIIGS, only CBPP3 had the desired effect of YTM reduction in the CB issues. On the other hand, as in the emissions of German companies, CBPP2 caused an increase in the YTM of CB emissions in PIIGS. Regarding the impact of SB on PIIGS YTMs, it was found that both CBPP1 and CBPP3 had a reducing effect, whereas the CBPP2 and CSPP programs had an adverse effect on what was expected from the ECB, since they led to an increase of the YTM in PIIGS. Finally, the results also displayed that the variables that have had the most significant effect on the SB and CB yield to maturity of PIIGS were the sovereign debt crisis, the risk-free rate and the “tranche to transaction” variable.
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Programas de compra de ativos Obrigações Quantitative easing Obrigações soberanas Asset purchase programs Corporate bonds Quantitative easing Sovereign bonds