The impact of sovereign debt purchase programmes. A case study: the Spanish-to-Portuguese bond yield spread

The impact of sovereign debt purchase programmes. A case study: the Spanish-to-Portuguese bond yield spread

Series: Working Papers. 2422.

Author: Fernando Cerezo, Pablo Girón, María T. González- Pérez and Roberto Pascual.

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Summary

This paper studies the impact of the sovereign bond purchase programmes implemented by the ECB since 2014, focusing on the dynamics of Spain to Portugal’s sovereign bond yield spread. The analysis confirms that, although fundamental fiscal, macroeconomic, and financial factors effectively explain the bond yield spread dynamics for most of the period, the ECB asset purchase programmes and the stock of long-term debt outstanding in bonds in both countries contribute to explaining the bond yield spread dynamics observed since 2020.

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