Abstract
This paper investigates whether the funding behavior of euro area debt management offices (DMOs) changed with the start of the ECB’s Public Sector Purchase Program (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former indicates a behavior of “locking in low rates for longer,” while the latter suggests the existence of an additional “demand effect” of the PSPP on DMO strategies beyond the PSPP’s effect via yields. The combined impact of the PSPP via these channels amounts to maturity extensions at issuance of about one year in our estimation.
Authors
- Katharina Plessen-Mátyás
- Christoph Kaufmann
- Julian von Landesberger
JEL codes
- E51
- E58
- E63
- H63