Does the european quantitative easing has an impact on the targeted securities liquidity premium?
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/22286 |
Resumo: | 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. |
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Does the european quantitative easing has an impact on the targeted securities liquidity premium?European QELiquidity premiumInflation-linked central government bondInflation swapLiquidity transmission channelDomínio/Área Científica::Ciências Sociais::Economia e GestãoWe 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.Silva, André CastroRUNVarsi, Simon2017-07-31T09:31:56Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/22286TID:201716364enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:09:45Zoai:run.unl.pt:10362/22286Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:27:13.636861Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
title |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
spellingShingle |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? Varsi, Simon European QE Liquidity premium Inflation-linked central government bond Inflation swap Liquidity transmission channel Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
title_full |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
title_fullStr |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
title_full_unstemmed |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
title_sort |
Does the european quantitative easing has an impact on the targeted securities liquidity premium? |
author |
Varsi, Simon |
author_facet |
Varsi, Simon |
author_role |
author |
dc.contributor.none.fl_str_mv |
Silva, André Castro RUN |
dc.contributor.author.fl_str_mv |
Varsi, Simon |
dc.subject.por.fl_str_mv |
European QE Liquidity premium Inflation-linked central government bond Inflation swap Liquidity transmission channel Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
European QE Liquidity premium Inflation-linked central government bond Inflation swap Liquidity transmission channel Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
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. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-07-31T09:31:56Z 2017-01-20 2017-01-20T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/22286 TID:201716364 |
url |
http://hdl.handle.net/10362/22286 |
identifier_str_mv |
TID:201716364 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137901135527936 |