{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,21]],"date-time":"2026-03-21T04:31:16Z","timestamp":1774067476294,"version":"3.50.1"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We examine how sovereign bond Option-Adjusted Spreads are associated with PEPP purchases under different fiscal conditions during the COVID-19 pandemic. Using a cross-sectional regression model with country- and time-fixed effects, we analyse a sample of 1,368 euro-denominated sovereign bonds issued between Q1:2018 and Q1:2022 in 19 Eurozone countries. While most of the literature relies on event-study approaches to capture announcement effects, our framework analyses the interaction between actual purchase flows and fiscal conditions, thereby complementing existing studies. The results demonstrate heterogeneous patterns in the relationship between PEPP purchases and sovereign bond spreads across countries, conditional on their fiscal stance. In high-debt countries, the PEPP purchases are not associated with lower issuance spreads and coincide with persistent perceptions of fiscal risk. Rising debt levels do not appear to overturn this relationship and are instead associated with a stronger sensitivity of spreads to PEPP purchases, consistent with a stabilising pricing pattern under heightened fiscal stress. In contrast, in low-debt countries, the PEPP purchases are associated with more favourable spread dynamics, although this relationship weakens as debt levels rise, suggesting rising fiscal risk pricing. Furthermore, eligibility status appears to play a more relevant role in low-debt economies, where eligible bonds tend to be perceived as riskier assets. By contrast, credit ratings and maturity do not consistently differentiate the relationship between PEPP purchases and spreads across countries.<\/jats:p>","DOI":"10.2139\/ssrn.6442028","type":"posted-content","created":{"date-parts":[[2026,3,21]],"date-time":"2026-03-21T02:32:47Z","timestamp":1774060367000},"source":"Crossref","is-referenced-by-count":0,"title":["The ECB's Pandemic Emergency Purchase Programme and Fiscal Policy: Synergies or Conflict"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-2989-5525","authenticated-orcid":true,"given":"Jorge","family":"Braga Ferreira","sequence":"first","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-6926-2653","authenticated-orcid":true,"given":"Ant\u00f3nio","family":"Afonso","sequence":"additional","affiliation":[]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,3,21]],"date-time":"2026-03-21T02:32:47Z","timestamp":1774060367000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6442028"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6442028","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}