Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/203319
Autoren: 
Pelizzon, Loriana
Subrahmanyam, Marti G.
Tomio, Davide
Uno, Jun
Datum: 
2018
Schriftenreihe/Nr.: 
SAFE Working Paper No. 226
Zusammenfassung: 
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.
Schlagwörter: 
Central Bank Interventions
Liquidity
Sovereign Bonds
Futures Contracts
Arbitrage
JEL: 
G01
G12
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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