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 |
| Funded by: | LOEWE |
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. |