French paper examines impact of ECB’s PSPP on bond yields

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A working paper published by the Banque de France uses new daily security-level data to examine the impact of the European Central Bank’s (ECB) public sector purchase programme (PSPP) on returns in the French bond market.

In Price impact of bond supply shocks: Evidence from the Eurosystem’s asset purchase program, William Arrata and Benoît Nguyen investigate three possible types of supply shocks. The first relates to the cumulative past purchases since the start of the programme (“stock”). The

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