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European Sovereign Bond Liquidity and Central Bank Interventions.

Gerold Willershausen (Autor)

Buch | Softcover

157 Seiten

2018
Verlag Wissenschaft & Praxis
978-3-89673-742-7 (ISBN)

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This work investigates liquidity in European sovereign bond markets. Liquidity in financial markets is often neglected when it is abounded, yet evaporating liquidity results in higher costs of transacting and lower information quality of financial markets. The analysis studies liquidity supplying trading strategies in debt markets and the impact of unconventional central bank policies on the time variations in market liquidity. Unconventional policies have been introduced since the global financial crisis and include asset purchase programs and long-term refinancing operations. The findings show that liquidity supply in European bond market declines during periods of financial stress and uncertainty. Moreover, expansive monetary policies and asset purchases can be associated with an improvement in market liquidity.

1 Introduction

Motivation – Research Outline – Structure of the Thesis

2 Market Liquidity

Market Liquidity and Securities Prices – Market Participants – Liquidity Crises

3 The European Government Bond Market

Market Characteristics – Market Structure

4 Short-Term Reversals

Introduction – Literature Review – Data and Methodology – Results – Conclusion

5 Liquidity and Unconventional Monetary Policy

Introduction – Literature Review and Hypothesis Development – Data – Single Market Analysis – Spillovers and Flights – Robustness – Conclusion

6 Conclusion

Summary – Outlook

Bibliography

Erscheinungsdatum	24.04.2018
Reihe/Serie	Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim ; 56
Zusatzinfo	19 Tab., 8 Abb. (darunter 3 farbige); 157 S., 5 schw.-w. Abb., 3 farb. Abb., 19 schw.-w. Tab.
Verlagsort	Berlin
Sprache	englisch
Maße	150 x 210 mm
Gewicht	275 g
Themenwelt	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
Schlagworte	bond liquidity • Bond Market • Central Bank • market liquidity • monetary policy
ISBN-10	3-89673-742-2 / 3896737422
ISBN-13	978-3-89673-742-7 / 9783896737427
Zustand	Neuware