欧洲央行-央行公司债券购买交易中的异质中介（英）

Working Paper Series Heterogeneous intermediaries in the transmission of central bank corporate bond purchasesFédéric Holm-Hadulla, Matteo Leombroni Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3101 AbstractThis paper studies the role of financial intermediaries in the transmission of centralbank corporate bond purchases to bond yields. Contrary to standard expectations,we find that mutual funds—typically viewed as price-elastic investors—amplify, ratherthan dampen, the effects of these interventions on bond spreads. Following the ECB’scorporate bond purchase announcements in 2016 and 2020, bonds predominantly heldby mutual funds experienced significantly larger and more persistent declines in spreadscompared to those held by price-inelastic investors such as insurance companies, evenafter controlling for a broad set of bond characteristics. Drawing on additional empiri-cal evidence and an equilibrium asset pricing model, we show that the state-contingentnature of the policy reduces perceived market risk for procyclical investors like mutualfunds, thereby boosting demand and compressing risk premia.Keywords: Corporate bonds, non-bank financial institutions, central bank asset purchasesJEL classification: E52, E58, G11, G23ECB Working Paper Series No 31011Non-Technical SummaryThis paper examines how the composition of bond market investors influences the transmis-sion of central bank asset purchases to corporate bond yields. We focus on the EuropeanCentral Bank’s (ECB) corporate bond purchase programs—launched in 2016 under the Cor-porate Sector Purchase Programme (CSPP) and expanded in 2020 with the Pandemic Emer-gency Purchase Programme (PEPP)—and investigate how the distribution of bond holdingsacross financial intermediaries affects the yield responses to these announcements.A widely held view in the literature is that bond markets dominated by price-inelasticinvestors, such as insurance companies, exhibit stronger price effects following central bankpurchases, since these investors tend to maintain stable portfolios. In contrast, price-elasticinvestors like mutual funds are expected to dampen the impact by adjusting their portfoliosmore aggressively in response to price changes.Contrary to this expectation, we find that bonds predominantly held by mutual fundsexperienced significantly larger and more persistent declines in yield spreads following theECB’s announcements, compared to bonds primarily held by insurance companies. Thesedifferences are not accounted for by observable bond characteristics—such as credit quality orduration—nor by changes in default risk, effectively ruling out a selection-based explanation.Instead, our findings suggest a distinct transmission channel: mutual funds respond to thereduction in downside risk and the improvement in market liquidity brought about by