Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/251300 
Year of Publication: 
2021
Series/Report no.: 
Sveriges Riksbank Working Paper Series No. 402
Publisher: 
Sveriges Riksbank, Stockholm
Abstract: 
We consider the effects of quantitative easing on the liquidity of the Swedish government bonds. To capture multiple dimensions of liquidity we use several measures built on a unique and highly granular transaction-based dataset. We find that the Riksbank's purchases of government bonds improved liquidity, but only to a point. In fact, the deterioration in the level of market liquidity from quantitative easing via the scarcity effect is significantly larger than the improvement from the demand effect. We find that such effects are nonlinear; they tend to be amplified when the share of the central bank holdings is larger than a threshold (40 percent).
Subjects: 
Market Liquidity
Government Bond Market
Quantitative Easing
Public Debt Management
JEL: 
E52
E58
G12
Document Type: 
Working Paper

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