央行公司债券购买交易中的异质中介

Heterogeneous intermediaries in thetransmission of central bank corporatebond purchases Fédéric Holm-Hadulla,Matteo Leombroni Disclaimer:Thispaper should not be reported as representing the views of theEuropean Central Bank(ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. Abstract This 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, G23 Non-Technical Summary This 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 theECB’s interventions by increasing their demand for corporate bonds, thereby amplifying theprice effects of the policy. We quantify this amplification and show that a bond with a mutual fund ownership share50 percentage points above the average exhibits a yield spread response approximately 60%stronger than the average bond.This effect becomes more pronounced over time.Usinggranular data on mutual fund portfolios, we show that mutual funds rebalanced into eligiblebonds immediately following the ECB announcements.Furthermore, mutual funds withhigher pre-announcement exposure to eligible bonds received significantly greater inflows,reinforcing the upward pressure on demand and prices. To interpret these findings, we develop an equilibrium asset pricing model featuring twotypes of investors: long-term, inelastic investors (insurance companies) and procyclical, risk-sensitive investors (mutual funds). The central bank operates as a third agent, purchasing bonds in a countercyclical manner.The model shows that such a policy reduces marketrisk for risky assets, particularly for volatility-sensitive investors. As a result, mutual fundsincrease their demand when perceived risk falls, amplifying the effect of the policy.In-surance companies, in contrast, adjust their portfolios only weakly—or even reduce theirexposure—as yields decline. Our findings contribute to the broader policy debate on the design and effectiveness ofcorporate bond purchase programs. First, we show that even in markets with a greater pres-ence of elastic investors, asset purchases can exert strong effects when they reduce perceivedrisk or enhance market liquidity.Second, this suggests that central banks may exert sub-stantial influence on bond markets through state-contingent commitments – and, providedthese are credible, even with relatively lean balance sheets.Third, the yield response tothese interventions varies across bonds depending on investor composition, highlighting theimportance of granular holdings data for evaluating policy effectiveness.