Central bank purchases of sovereign bonds in the euro area, the random walk hypothesis, and different measures of risk
研究欧洲央行公共部门债券购买计划（PSPP）对欧元区外围国家风险利差的影响，质疑了长期利率遵循随机游走的假设，指出该假设不适用于外围国家债券风险利差或信用违约互换。
Abstract The large purchase of public sector bonds (PSPP) by the ECB constitutes an interesting special case of quantitative easing (QE). It involved the purchase of risky, peripheral euro area government bonds—not by the ECB itself but by the national central banks at their own risk. The PSPP can be assimilated into a buy-back financed with senior debt, which should reduce the value of the remaining debt. Theory thus suggests that the PSPP should not be expected to have a positive impact on peripheral risk spreads. Empirical studies try to measure the impact of the asset purchases of central banks (QE) using the market reaction at the announcement date. The announcement effects are taken to be permanent because long-term rates are assumed to follow a random walk. We show that this assumption is not warranted for the risk spreads on bonds or the credit default swaps of peripheral euro area countries.