A carregar...
Publicação
The impact of monetary policy on liquidity and bond yields at issuance: evidence from the Eurozone corporate bond market (2022–2024)
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 940.47 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
The current work examines the impact of Eurozone monetary policy changes on liquidity and
bond yields in the corporate bond market, focusing on the aggressive tightening period from
2022 to 2024. Using bid-ask spreads as a proxy for liquidity, the analysis explores how interest
rate changes influence secondary market liquidity and, in turn, bond yields at issuance. We
provide evidence that the improved liquidity conditions in 2024, characterized by the first rate
cut in years, mitigated the impact of liquidity constraints on bond yields at issuance compared
to 2022 and 2023.
Descrição
Palavras-chave
Corporate debt market Corporate bonds Bid-ask spread Liquidity Bond yields European Central Bank Interest rates Monetary policy Roll measure Event-study