A regression discontinuity design for ordinal running variables: Evaluating central bank purchases of corporate bonds

Li, Fan; Mercatanti, Andrea; Mäkinen, Taneli; Silvestrini, Andrea

doi:10.1214/20-aoas1396

Cited by 10 publications

(13 citation statements)

References 58 publications

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“…In the remainder of the paper I follow the ECB definition to label all bonds which have just a first-best credit assessment of at least BBB- as IG bonds. Li et al ( 2021 ) argue that this difference made bonds between the two thresholds, or even just slightly below it, behaving in the same way. In addition, after the first CSPP announcement, rating upgrades were noticeable for bonds initially located below, but close to, the eligibility frontier (Abidi et al 2019 ).…”

Section: The Eurosystem Corporate Marketmentioning

confidence: 99%

“…Indeed, in the paper I label IG bonds all bonds which ful…ll the ECB requirement of a …rst-best credit assessment of at least BBB-, even though this de…nition is not exactly matched by the …nancial investors' de…nition of IG bond, which usually requires the mean or the median rating to be at least BBB-. While it is argued that this di¤erence made bonds between the two thresholds, or even just slightly below, to behave in the same way (Li et al 2020), it also happened that after the …rst CSPP announcement, rating upgrades were mostly noticeable for bonds initially located below, but close to, the eligibility frontier (Abidi et al 2019). 3 In addition, from the joint working of the above-listed criteria, it turns out that not all IG bonds are eligible, regardless of the de…nition adopted.…”

Section: The Eurosystem Corporate Marketmentioning

confidence: 99%

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The Covid pandemic in the market: infected, immune and cured bonds

Zaghini

2023

J Financ Serv Res

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In this paper, I analyze the developments in the euro-area primary bond market during the Covid-19 pandemic. The most surprising effect is the significant increase in the share of investment-grade bonds from 15% to 40%. Over the first phases of the crisis (from mid-February to mid-March), these bonds enjoyed a negative premium of 60 to 80 basis points. However, the premium disappeared when the market conditions further deteriorated. There is also evidence that the firms most exposed to the changes in the business model brought about by the pandemic experienced an increase in the cost of issuance of around 30 basis points. By contrast, there is no evidence that supports the existence of an increased cost for companies headquartered in countries with weak public finances, or evidence of a premium in favor of green bonds that were expected to be the backbone of a possible “green recovery”.

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Section: The Eurosystem Corporate Marketmentioning

confidence: 99%

Section: The Eurosystem Corporate Marketmentioning

confidence: 99%

The Covid pandemic in the market: infected, immune and cured bonds

Zaghini

2023

J Financ Serv Res

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show abstract

Section: The Eurosystem Corporate Marketmentioning

confidence: 99%

The COVID Pandemic in the Market: Infected, Immune and Cured Bonds

Zaghini

2021

SSRN Journal

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By focusing on the cost conditions at issuance, I …nd that not only the Covid-19 pandemic e¤ects were di¤erent across bonds and …rms at di¤erent stages, but also that the market composition was signi…cantly a¤ected, collapsing on investmentgrade bonds, a segment in which the share of bonds eligible to the ECB corporate programmes strikingly increased from 15% to 40%. At the same time the high-yield segment shrunk to almost disappear at 4%. In addition to a market segmentation along the bond grade and the eligibility to the ECB programmes, another source of risk detected in the pricing mechanism is the weak resilience to pandemic: the premium requested is around 30 basis points and started to be priced only after the early containment actions taken by the national authorities. On the contrary, I do not …nd evidence supporting an increased risk for corporations headquartered in countries with a reduced …scal space, nor the existence of a premium in favour of green bonds, which should be the backbone of a possible "green recovery".

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“…These include probing the effect estimate’s sensitivity to (i) the choice of the scaling function, (ii) the choice of the scaled cutoff score, and (iii) remaining confounding due to model misspecification (see Section 3 for details). We remark that there are other approaches that can accommodate ordinal or discrete running variables in RD designs, such as using propensity scores as a surrogate continuous running variable under the local randomization framework (Li et al, 2021) and linking analysis of covariance and local randomization heuristics (Sales & Hansen, 2020).…”

Section: Introductionmentioning

confidence: 99%

Regression Discontinuity Designs With an Ordinal Running Variable: Evaluating the Effects of Extended Time Accommodations for English-Language Learners

Suk

Steiner

Kim

et al. 2022

Journal of Educational and Behavioral Statistics

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Regression discontinuity (RD) designs are commonly used for program evaluation with continuous treatment assignment variables. But in practice, treatment assignment is frequently based on ordinal variables. In this study, we propose an RD design with an ordinal running variable to assess the effects of extended time accommodations (ETA) for English-language learners (ELLs). ETA eligibility is determined by ordinal ELL English-proficiency categories of National Assessment of Educational Progress data. We discuss the identification and estimation of the average treatment effect (ATE), intent-to-treat effect, and the local ATE at the cutoff. We also propose a series of sensitivity analyses to probe the effect estimates’ robustness to the choices of scaling functions and cutoff scores and remaining confounding.

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A regression discontinuity design for ordinal running variables: Evaluating central bank purchases of corporate bonds

Cited by 10 publications

References 58 publications

The Covid pandemic in the market: infected, immune and cured bonds

The Covid pandemic in the market: infected, immune and cured bonds

The COVID Pandemic in the Market: Infected, Immune and Cured Bonds

Regression Discontinuity Designs With an Ordinal Running Variable: Evaluating the Effects of Extended Time Accommodations for English-Language Learners

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