Collateral eligibility of corporate debt in the Eurosystem

• 成果类型: Article
• 署名作者: Pelizzon, Loriana; Riedel, Max; Simon, Zorka; Subrahmanyam, G.
• 署名单位: Universita Ca Foscari Venezia; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2023.103777
• 发表日期: 2024
• 关键词: Collateral policy; European Central Bank (ECB); Corporate bonds; Eligibility premium

摘要

We study the many implications of the Eurosystem collateral framework for corporate bonds. Using data on the evolving collateral eligibility list, we identify the first inclusion dates of bonds and issuers and use these events to find that the increased supply and demand for pledgeable collateral following eligibility (a) increases activity in the corporate securities lending market, (b) lowers eligible bond yields, and (c) affects bond liquidity. Thus, corporate bond lending relaxes the constraint of limited collateral supply and thereby improves market functioning.