The Impact of QE Interventions on Market Liquidity and Limits to Arbitrage

Projekt Start: 01/2016
Status: Fortlaufend
Forscher: Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega
Kategorie: Macro Finance, Financial Markets, Systemic Risk Lab
Finanziert von: LOEWE

This project is part of the team project "The Impact of Quantitative Easing and the Zero Lower Bound on Asset Prices".

Zugehörige publizierte Papers

Autor(en) Titel Jahr Forschungs­bereich Keywords
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative Finance
2018 Macro Finance, Financial Markets, Systemic Risk Lab Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market

Zugehörige Working Papers

Nr. Autor(en) Titel Jahr Forschungs­bereich Keywords
183 Joost Driessen, Theo E. Nijman, Zorka Simon The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets 2017 Macro Finance, Financial Markets, Systemic Risk Lab Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle
151 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis 2016 Macro Finance, Financial Markets, Systemic Risk Lab Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing.

 

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