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

Arbeitspapier

The Eurosystem purchased €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 for both purchased and nonpurchased bonds. We find that while the flow of purchases supported secondary market liquidity, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.

Angaben zum Objekt

• ISBN: 978-3-95729-816-4
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Deutsche Bundesbank Discussion Paper ; No. 08/2021

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy ; International Finance: General ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Corporate Bond Market ; Central Bank Asset Purchases ; Market Liquidity

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Boneva, Lena ; Islami, Mevlud ; Schlepper, Kathi
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/232071
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ