Bonfim, Diana Carina Ribeiro GuimarãesCapela, André Filipe Carvalho2019-08-072019-07-082019http://hdl.handle.net/10400.14/28122We 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.engCorporateCSPPECBPortugalQuantitative easingUnconventional monetary policyYieldsmaster thesis202270831