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

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2024年 / 147卷

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

页数：17