Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/203319
Authors: 
Pelizzon, Loriana
Subrahmanyam, Marti G.
Tomio, Davide
Uno, Jun
Year of Publication: 
2018
Series/Report no.: 
SAFE Working Paper 226
Abstract: 
We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect channels through which the scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the greater uncertainty about bond availability as collateral.
Subjects: 
Central Bank Interventions
Liquidity
Sovereign Bonds
Futures Contracts
Arbitrage
JEL: 
G01
G12
G14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.