The Impact of QE Interventions on Sovereign Bond Market Microstructure

Project Start:02/2016
Researchers:Zhiwu Hong, LinLin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno
Category: Financial Markets, Macro Finance
Funded by:Volkswagen Stiftung

The research team including Loriana Pelizzon, Linlin Niu, Marti G. Subrahmanyam, Jun Uno, take a closer look at the microstructure of the Treasury bond markets and investigate costs and benefits of Quantitative Easing in terms of market liquidity, liquidity spillovers, and potential arbitrage opportunities. It is planned to use detailed information on the Fed and BoJ interventions since 2009 with respect to which bonds were eligible in the respective central bank bond purchase programs. A comparative study on the US and the Japanese market will highlight the differences in terms of the effects of the different strategies and will provide new insights to other central banks (including the ECB) that are planning to mimic the behavior of the Fed and BoJ as well as the potential effects of unwinding QE.

Related Working Papers

No.Author/sTitleYearProgram AreaKeywords
226Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun UnoCentral Bank-Driven Mispricing2018 Financial Markets, Macro Finance Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage