The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
研究了新冠疫情后欧洲公司债券市场的金融危机，评估了欧洲央行的量化宽松项目PEPP在缓解危机中的效果，发现PEPP通过投资组合再平衡渠道降低了不合格债券的信用利差，但未改善流动性。
We examine the financial crisis in the European corporate bond market following the COVID-19 pandemic and assess the effectiveness of the ECB's QE program, PEPP, in mitigating it. Using credit (Z-spread) and liquidity (scaled bid-ask spread) spreads, we find that the crisis elevated Z-spreads of corporate bonds and mostly raised the bid-ask spread of ineligible bonds – indicating that the pre-pandemic QE shored up the liquidity of eligible bonds. Moreover, ineligible bonds issued by firms in COVID-19 hard-hit industries experienced the steepest increase in the credit and liquidity spreads. The results show that PEPP decreased the credit spreads of ineligible bonds via the portfolio rebalancing channel, especially in pandemic-sensitive industries; however, it did not improve corporate bonds’ liquidity conditions.