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Does the european quantitative easing has an impact on the targeted securities liquidity premium?
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Resumo(s)
We argue that large-scale asset purchases of the ECB lead to a decrease of the priced
frictions in the targeted securities through a transmission channel. More precisely, we study the
effect of the purchases of the inflation-linked central government bonds included in the European
QE on the ILGB and inflation swap markets. Based on the liquidity transmission channel described
by Christensen and Gillan (2016), we find that even if there is an evidence of this impact, it is not
as huge as the one observed on the American market. We find that the difference in the liquidity
premium varies from -0.024 to -1.152 basis points at five-year maturity, and from 0.166 to -1.182
basis points at ten-year maturity.
Descrição
Palavras-chave
European QE Liquidity premium Inflation-linked central government bond Inflation swap Liquidity transmission channel