Plausibly Exogenous [757] - Central Bank Asset Purchase (02/14/2022)
LHS Variable
Sovereign bond prices
RHS Variable
Purchases from ECB's Public Sector Purchase Programme (PSPP)
Source of Exogenous Variation
“Blackout periods” embedded in the legal set-up of the Public Sector Purchase Programme (PSPP), which render certain securities trading in the secondary market temporarily ineligible for reasons unrelated to their prevailing prices
- De Santis and Holm-Hadulla (2020), “Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment”