德国企业债券市场的流动性：CSPP 是否有所作为？

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-07-29 DOI:10.1016/j.jimonfin.2024.103147

Lena Boneva , Mevlud Islami , Kathi Schlepper

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引用次数: 0

摘要

欧元体系在2016年6月至2018年12月期间根据企业部门购买计划（CSPP）购买了1,780亿欧元的企业债券。这些购买是否导致了企业债券市场流动性状况的恶化，从而引发了对大规模资产购买意外后果的担忧？为了回答这个问题，我们将德国央行详细的 CSPP 购买记录与一系列流动性指标结合起来。我们发现，虽然购买流动最初通过提供可预测的需求来源支持了二级市场的流动性，但随着德国央行减少了可在二级市场交易的公司债券存量，流动性状况长期恶化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Liquidity in the German corporate bond market: Has the CSPP made a difference?

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. We find that while the flow of purchases initially supported secondary market liquidity by providing a predictable source of demand, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.