• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Summer School
      • Behavioral Macro and Complexity
      • Climate Change
      • Econometrics and Data Science Methods for Business, Economics and Finance
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times
Home | Events Archive | Quantifying the Eligibility Premium: Analysis of an ECB Collateral Policy
Research Master Defense

Quantifying the Eligibility Premium: Analysis of an ECB Collateral Policy

  • Series
    Research Master Defense
  • Speaker
    Kirstin Wacker
  • Field
  • Location
    VU Amsterdam Main building (HG) 6A-28
  • Date and time

    October 23, 2019
    09:00 - 10:00

The eligibility premium affects the value of securities that can be used as collateral in the central bank's lending operations. Being included in the collateral list of a central bank influences a security's price positively and therefore reduces the borrowing costs of issuing such a bond. This ultimately affects the choice of capital structure of the company that issues bonds, which can be pledged as collateral in the open market operations of the central bank.

I apply a difference-in-differences framework to a change in the collateral policy by the ECB to quantify the eligibility effect. This policy exogenously added a set of securities to the collateral list. Focusing on corporate bonds I finds that a bond's borrowing costs went down once it was included in the collateral pool. Additionally, companies that issued eligible bonds increased their leverage.