We analyse the impact of ECB asset purchases on sovereign bond spreads during the Covid-19 pandemic. Using an enhanced event study design, we trace the impact of asset purchases over time, distinguishing between announcements, expectations, and implementation effects. The analysis draws on a new granular cross-country dataset of the ECB’s asset purchases and market expectations. We find large announcement effects, particularly for countries with lower sovereign credit ratings. Expectations about the final size of ECB asset purchases (‘the stock’) and actually implemented net purchases (‘the flows’) affected sovereign spreads at the time of severe market stress with significant cross-country variations. Overall, the ECB’s asset purchases were highly effective in warding off risks of financial fragmentation in the euro area during the pandemic.

我们分析了 Covid-19 大流行期间欧洲央行资产购买对主权债券利差的影响。使用增强的事件研究设计，我们追踪资产购买随时间的影响，区分公告、预期和实施效果。该分析利用了欧洲央行资产购买和市场预期的新的详细跨国数据集。我们发现公告效应很大，特别是对于主权信用评级较低的国家。在严重的市场压力下，对欧洲央行资产购买的最终规模（“存量”）和实际实施的净购买（“流量”）的预期影响了主权利差，且各国之间存在显着差异。总体而言，欧洲央行的资产购买行动在防范疫情期间欧元区金融碎片化风险方面非常有效。