Liquidity in the German corporate bond market: Has the CSPP made a difference?

被引:0
|
作者
Boneva, Lena [1 ,2 ]
Islami, Mevlud [3 ]
Schlepper, Kathi [4 ]
机构
[1] Swiss Natl Bank, Zurich, Switzerland
[2] CEPR, London, England
[3] Deutsch Bundesbank, DG Financial Stabil, Frankfurt, Germany
[4] Deutsch Bundesbank, DG Markets, Frankfurt, Germany
关键词
Corporate bond market; Central bank asset purchases; Market liquidity;
D O I
10.1016/j.jimonfin.2024.103147
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The Eurosystem purchased e 178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market, thus raising concerns about unintended consequences of large-scale asset purchases? To answer this question, we combine the Bundesbank's detailed CSPP purchase records with a range of liquidity indicators. We find that while the flow of purchases initially supported secondary market liquidity by providing a predictable source of demand, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.
引用
收藏
页数:17
相关论文
共 50 条
  • [1] Uncertainty and liquidity in corporate bond market
    Guo, Liang
    Lien, Donald
    Hao, Maggie
    Zhang, Hongxian
    APPLIED ECONOMICS, 2017, 49 (47) : 4760 - 4781
  • [2] Liquidity Supply in the Corporate Bond Market
    Goldberg, Jonathan
    Nozawa, Yoshio
    JOURNAL OF FINANCE, 2021, 76 (02): : 755 - 796
  • [3] Liquidity dimensions in the US corporate bond market
    Diaz, Antonio
    Escribano, Ana
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 80 : 1163 - 1179
  • [4] Dimension Effect of the Liquidity Measuring of Corporate Bond Market
    Min Xiao-ping
    2013 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE AND ENGINEERING (ICMSE), 2013, : 1551 - 1557
  • [5] Pricing Liquidity Risk in the Korean Corporate Bond Market
    Kim, Eunji
    Jang, Ga-Young
    Kim, Soo-Hyun
    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2023, 52 (02) : 264 - 291
  • [6] Tunisian corporate bond market liquidity: a qualitative approach
    Berrich, Olfa
    Dabbou, Halim
    QUALITATIVE RESEARCH IN FINANCIAL MARKETS, 2023, 15 (05) : 795 - 819
  • [7] Fire Sales and Impediments to Liquidity Provision in the Corporate Bond Market
    Wang, Z. Jay
    Zhang, Hanjiang
    Zhang, Xinde
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2020, 55 (08) : 2613 - 2640
  • [8] The Liquidity Premium in China's Corporate Bond Market: A Stochastic Liquidity Discount Approach
    Min, Xiaoping
    Ji, Min
    RISKS, 2022, 10 (07)
  • [9] Corporate governance in Malaysia: has MCCG made a difference
    Bhatt, Padmanabha Ramachandra
    INTERNATIONAL JOURNAL OF LAW AND MANAGEMENT, 2016, 58 (04) : 403 - 415
  • [10] Corporate Governance and Corporate Bond Liquidity
    Lee, Hyun Jin
    Cho, Insook
    GLOBAL ECONOMIC REVIEW, 2016, 45 (02) : 189 - 205