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.

Object Details

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

References and Relationships

• Bibliographic citation: Series: Deutsche Bundesbank Discussion Paper ; No. 08/2021

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Boneva, Lena ; Islami, Mevlud ; Schlepper, Kathi
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/232071
• Last update: 10.03.2025, 11:44 AM CET