Notes: Impacts are derived on the basis of an arbitrage-free affine model of the term structure with a quantity factor (see Eser et al., 2019) and a second version of the model calibrated such that model-implied yield reactions to the March PEPP announcement match the two-day yield changes observed after 18 March 2020.
The model results are derived using GDP-weighted averages of the zero-coupon yields of the big-four sovereign issuers (DE, FR, IT, ES). The latest observation is for September 2022. Corporate bonds The corporate bond market plays an important role in the financing of larger non-financial firms in the euro area.