The Public Sector Purchase Programme of the euro area, PSPP, which started in 2015, constitutes an interesting special case of Quantitative Easing (QE) because it involved the purchase of peripheral euro area government bonds, which were clearly not riskless. Moreover, these purchases were undertaken by national central banks at their own risk. Intuition suggests, and a simple model confirms, that, ceteris paribus, large purchases by a central bank of the bonds of its own sovereign could increase the risk for the remaining private bond holders – if this purchase occurs within a monetary union where the national central banks have no autonomy left. Our empirical analysis suggests that risk premiums on peripheral bonds did not follow a random walk, contrary to what is assumed in event studies, implying that the announcement effects might not have been permanent. We find that the announcements of bond buying (and its implementation) did not change the stochastics of these premiums and had a smaller impact on CDS spreads which provide another measure of risk.

2015 年启动的欧元区公共部门购买计划 PSPP 构成了量化宽松 (QE) 的一个有趣的特例，因为它涉及购买外围欧元区政府债券，这些债券显然不是无风险的。此外，这些购买是由国家中央银行自担风险进行的。直觉表明，一个简单的模型证实，在其他条件不变的情况下，中央银行大量购买其主权债券可能会增加剩余私人债券持有人的风险——如果这种购买发生在一个货币联盟内，国家中央银行银行没有自主权。我们的实证分析表明，外围债券的风险溢价并未遵循随机游走，这与事件研究中的假设相反，暗示公告效果可能不是永久性的。我们发现债券购买（及其实施）的公告并没有改变这些溢价的随机性，并且对提供另一种风险度量的 CDS 利差的影响较小。