The impact of monetary policy on liquidity and bond yields at issuance: evidence from the Eurozone corporate bond market (2022–2024)

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/186161

Título:	The impact of monetary policy on liquidity and bond yields at issuance: evidence from the Eurozone corporate bond market (2022–2024)
Autor:	Marques, Laura de Andrade
Orientador:	Ottonello, Giorgio
Palavras-chave:	Corporate debt market Corporate bonds Bid-ask spread Liquidity Bond yields European Central Bank Interest rates Monetary policy Roll measure Event-study
Data de Defesa:	17-Jan-2025
Resumo:	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.
URI:	http://hdl.handle.net/10362/186161
Designação:	A Work Project, presented as part of the requirements for the Award of a Master’s degree in Finance from the Nova School of Business and Economics
Aparece nas colecções:	NSBE: Nova SBE - MA Dissertations

Ficheiros deste registo:

Ficheiro	Descrição	Tamanho	Formato
2024_25_Fall_57873_Laura_Marques.pdf		940,47 kB	Adobe PDF	Ver/Abrir