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.
机构:
Calif State Univ San Bernardino, Dept Accounting & Finance, Coll Business & Publ Adm, 5500 Univ Pkwy, San Bernardino, CA 92407 USACalif State Univ San Bernardino, Dept Accounting & Finance, Coll Business & Publ Adm, 5500 Univ Pkwy, San Bernardino, CA 92407 USA
Guo, Liang
Lien, Donald
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机构:
Univ Texas San Antonio, Dept Econ, Coll Business, San Antonio, TX USACalif State Univ San Bernardino, Dept Accounting & Finance, Coll Business & Publ Adm, 5500 Univ Pkwy, San Bernardino, CA 92407 USA
Lien, Donald
Hao, Maggie
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机构:
Coll Business, Dept Accounting, San Antonio, TX USACalif State Univ San Bernardino, Dept Accounting & Finance, Coll Business & Publ Adm, 5500 Univ Pkwy, San Bernardino, CA 92407 USA
Hao, Maggie
Zhang, Hongxian
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机构:
Missouri Univ Sci & Technol, Dept Business & Informat Technol, Rolla, MO USACalif State Univ San Bernardino, Dept Accounting & Finance, Coll Business & Publ Adm, 5500 Univ Pkwy, San Bernardino, CA 92407 USA
机构:
Univ Castilla La Mancha, Fac CC Econ & Empresariales, Dept Anal Econ & Finanzas, Plaza Univ, 1, Albacete 02071, SpainUniv Castilla La Mancha, Fac CC Econ & Empresariales, Dept Anal Econ & Finanzas, Plaza Univ, 1, Albacete 02071, Spain
Diaz, Antonio
Escribano, Ana
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h-index: 0
机构:
Univ Castilla La Mancha, Fac CC Econ & Empresariales, Dept Anal Econ & Finanzas, Plaza Univ, 1, Albacete 02071, SpainUniv Castilla La Mancha, Fac CC Econ & Empresariales, Dept Anal Econ & Finanzas, Plaza Univ, 1, Albacete 02071, Spain
机构:
Univ Utara Malaysia, Othman Yeop Abdullah Grad Business Sch, Strateg Management, Sintok, MalaysiaUniv Utara Malaysia, Othman Yeop Abdullah Grad Business Sch, Strateg Management, Sintok, Malaysia