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Tracing the Impact of the ECB’s Asset Purchase Programme on the Yield Curve

Eser, Fabian - 2019

We trace the impact of the ECB's asset purchase programme (APP) on the sovereign yield curve. Exploiting granular information on sectoral asset holdings and ECB asset purchases, we construct a novel measure of the “free-float of duration risk” borne by price-sensitive investors. We include...

Persistent link: https://www.econbiz.de/10012866996

The Relationship between Central Bank Auctions and Bill Market Liquidity

Bats, Joost; Hoondert, Jurian J.A - 2022

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The …

Persistent link: https://www.econbiz.de/10013403023

The relationship between central bank auctions and bill market liquidity

Bats, Joost V.; Hoondert, Jurian J. A. - 2022

This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The …

Persistent link: https://www.econbiz.de/10014278397

Quantitative easing and the price-liquidity trade-off

Ferdinandusse, Marien; Freier, Maximilian; Ristiniemi, … - 2020

We consider the effects of quantitative easing on liquidity and prices of bonds in a search- and matching model. The … a decline in yields, while they have opposite effects on market liquidity. This results in a price-liquidity trade …-off. Initially, liquidity improves in reaction to central bank demand. As the central bank buys and holds bonds, supply becomes …

Persistent link: https://www.econbiz.de/10012422061

Investor heterogeneity and large-scale asset purchases

Breckenfelder, Johannes; De Falco, Veronica - 2024

Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...

Persistent link: https://www.econbiz.de/10014543663

Liquidity and Credit Risk Premia in Government Bond Yields

Ejsing, Jacob Wellendorph - 2012

This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we …-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

Persistent link: https://www.econbiz.de/10013106056

Liquidity Premia in German Government Bonds

Ejsing, Jacob Wellendorph - 2009

find that on-the-run status has only a negligible effect on the liquidity and pricing once other factors have been … market, leads to significant liquidity spillovers. Specifically, we find that bonds which are deliverable into futures …

Persistent link: https://www.econbiz.de/10013156974

Monetary policy in exceptional times

Lenza, Michele; Pill, Huw; Reichlin, Lucrezia - 2010

This paper describes the response of three central banks to the 2007-09 financial crisis: the European Central Bank, the Federal Reserve and the Bank of England. In particular, the paper discusses the design, implementation and impact of so-called "non-standard" monetary policy measures focusing...

Persistent link: https://www.econbiz.de/10011605299

Euro Money Market Spreads During the 2007-? Financial Crisis

Cassola, Nuno - 2012

In the paper we investigate the empirical features of euro area money market turbulence during the recent financial crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model, we find evidence of a deterministic level factor in the EURIBOR-OIS (OIS)...

Persistent link: https://www.econbiz.de/10013106591

The Term Structure of Risk Premia : New Evidence from the Financial Crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10013146561