Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/232071
Authors: 
Boneva, Lena
Islami, Mevlud
Schlepper, Kathi
Year of Publication: 
2021
Series/Report no.: 
Bundesbank Discussion Paper No. 08/2021
Abstract: 
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.
Subjects: 
Corporate Bond Market
Central Bank Asset Purchases
Market Liquidity
JEL: 
E52
F30
G12
ISBN: 
978-3-95729-816-4
Document Type: 
Working Paper

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