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: Financial Markets, Systemic Risk Lab
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 Program Area Keywords
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative Finance
2018 Financial Markets, Systemic Risk Lab Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market

Related Working Papers

No. Author/s Title Year Program Area Keywords
183 Joost Driessen, Theo E. Nijman, Zorka Simon The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets 2017 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 Financial Markets, Systemic Risk Lab Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing.

 

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