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18 January 2021 Research Supervision label Working Papers

This paper investigates cross-border spillover effects from the Eurosystem’s Public Sector Purchase Programme (PSPP) on euro area government bond yields. We distinguish between the direct effects of domestic bond purchases by national central banks and the indirect effects from bond purchases by national central banks in other euro area countries over the period March 2015 - December 2018. The results reveal substantial spillover effects across the euro area, providing evidence for strong arbitrage within the euro area. These spillover effects are particularly large for long-term bonds and for bonds issued by non-core countries. The larger impact of spillovers in these cases can be explained by investors rebalancing towards higher yielding government bonds. In addition, purchases under PSPP had their largest impact on bond yields in 2015.

Keywords: Public Sector Purchase Programme, euro area, spillovers, government bonds.
JEL classifications: E52, E58, G12.

Working paper no. 706

nr. 706 - Spillover effects of sovereign bond purchases in the euro area



  • Yvo Mudde
  • Anna Samarina
  • Robert Vermeulen