The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market

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 cor...

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Detalhes bibliográficos
Autores: Cohen, Lior, Furman, Itai
Formato: artículo
Estado:Versión publicada
Fecha de publicación:2024
País:España
Recursos:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:dnet:recercat____::3c7b475912a6d8875ce321d280ec717c
Acesso em linha:https://hdl.handle.net/2445/229135
Access Level:acceso abierto
Palavra-chave:COVID-19
Crisis financeres
Financial crises
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spelling The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond marketCohen, LiorFurman, ItaiCOVID-19Crisis financeresCOVID-19Financial crisesWe 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.Elsevier B.V.2026202620242026info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion4 p.application/pdfhttps://hdl.handle.net/2445/229135Articles publicats en revistes (Economia)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésReproducció del document publicat a: https://doi.org/10.1016/j.econlet.2024.111563Economics Letters, 2024, vol. 235https://doi.org/10.1016/j.econlet.2024.111563cc-by (c) Cohen, Lior; Furman, Itai, 2024http://creativecommons.org/licenses/by/4.0/info:eu-repo/semantics/openAccessoai:dnet:recercat____::3c7b475912a6d8875ce321d280ec717c2026-05-29T05:05:01Z
dc.title.none.fl_str_mv The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
title The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
spellingShingle The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
Cohen, Lior
COVID-19
Crisis financeres
COVID-19
Financial crises
title_short The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
title_full The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
title_fullStr The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
title_full_unstemmed The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
title_sort The impact of the ECB's PEPP project on the COVID-19-Induced crisis in the corporate bond market
dc.creator.none.fl_str_mv Cohen, Lior
Furman, Itai
author Cohen, Lior
author_facet Cohen, Lior
Furman, Itai
author_role author
author2 Furman, Itai
author2_role author
dc.subject.none.fl_str_mv COVID-19
Crisis financeres
COVID-19
Financial crises
topic COVID-19
Crisis financeres
COVID-19
Financial crises
description 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.
publishDate 2024
dc.date.none.fl_str_mv 2024
2026
2026
2026
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/229135
url https://hdl.handle.net/2445/229135
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.1016/j.econlet.2024.111563
Economics Letters, 2024, vol. 235
https://doi.org/10.1016/j.econlet.2024.111563
dc.rights.none.fl_str_mv cc-by (c) Cohen, Lior; Furman, Itai, 2024
http://creativecommons.org/licenses/by/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by (c) Cohen, Lior; Furman, Itai, 2024
http://creativecommons.org/licenses/by/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 4 p.
application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv Articles publicats en revistes (Economia)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,811543

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