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

Project Start: 01/2016
Status: Ongoing
Researchers: Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega
Category: Macro Finance, Financial Markets

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

Related Published Papers

Author/s Title Year Research Area 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 Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market

Related Working Papers

No. Author/s Title Year Research Area 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 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 Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing.

 

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