Willershausen European Sovereign Bond Liquidity and Central Bank Interventions.

1. Auflage 2020
ISBN: 978-3-89644-742-5
Verlag: Duncker & Humblot
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, Band 56, 157 Seiten

Reihe: Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim

This work investigates liquidity in European sovereign bond markets. Liquidity in financial markets is often neglected when it is abounded, yet evaporating liquidity results in higher costs of transacting and lower information quality of financial markets. The analysis studies liquidity supplying trading strategies in debt markets and the impact of unconventional central bank policies on the time variations in market liquidity. Unconventional policies have been introduced since the global financial crisis and include asset purchase programs and long-term refinancing operations. The findings show that liquidity supply in European bond market declines during periods of financial stress and uncertainty. Moreover, expansive monetary policies and asset purchases can be associated with an improvement in market liquidity.

Autoren/Hrsg.

Willershausen, Gerold

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Öffentliche Finanzwirtschaft, Besteuerung
• Wirtschaftswissenschaften Volkswirtschaftslehre Europäische Union, Europa: Wirtschaft
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
• Sozialwissenschaften Politikwissenschaft Regierungspolitik Wirtschafts- und Finanzpolitik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Volkswirtschaftslehre Wirtschaftspolitik, politische Ökonomie

Inhaltsverzeichnis

1 Introduction

Motivation – Research Outline – Structure of the Thesis

2 Market Liquidity

Market Liquidity and Securities Prices – Market Participants – Liquidity Crises

3 The European Government Bond Market

Market Characteristics – Market Structure

4 Short-Term Reversals

Introduction – Literature Review – Data and Methodology – Results – Conclusion

5 Liquidity and Unconventional Monetary Policy

Introduction – Literature Review and Hypothesis Development – Data – Single Market Analysis – Spillovers and Flights – Robustness – Conclusion

6 Conclusion

Summary – Outlook

Bibliography