Arbeitspapier

Funding behaviour of debt management offices and the ECB's Public Sector Purchase Programme

zu Verbundenen Objekten

This paper investigates whether the funding behaviour of euro area debt management offices (DMOs) changed with the start of the ECB's Public Sector Purchase Programme (PSPP). Our results show that (i) lower yield levels and (ii) PSPP purchases supported higher maturities at issuance. The former indicates a behaviour 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, which compares to the average issuance maturity for Germany, France, Italy and Spain before the PSPP of four years. Our finding that DMOs extend maturities when funding conditions ease invites further work on the economic implications of public debt management during the PSPP and its relevance for monetary policy transmission.

ISBN
978-92-899-4552-3
Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 2552

Klassifikation
Wirtschaft
Monetary Policy
Central Banks and Their Policies
Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
National Debt; Debt Management; Sovereign Debt
Thema
Central bank asset purchases
unconventional monetary policy
public debtmanagement
sovereign debt maturity structure

Ereignis
Geistige Schöpfung
(wer)
Plessen-Mátyás, Katharina
Kaufmann, Christoph
Julian von Landesberger
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2021

DOI
doi:10.2866/715221
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

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Objekttyp

  • Arbeitspapier

Beteiligte

  • Plessen-Mátyás, Katharina
  • Kaufmann, Christoph
  • Julian von Landesberger
  • European Central Bank (ECB)

Entstanden

  • 2021

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