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  1. The impact of the ECB asset purchases on the European bond market structure: granular evidence on ownership concentration
    Author: Boermans, Martijn; Keshkov, Viacheslav
    Published: [2018]
    Publisher:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / De Nederlandsche Bank NV ; no. 590 (April 2018)
    Subjects: quantitative easing; portfolio rebalancing; market concentration; ECB; PSPP; securities holdings statistics; unconventional monetary policy
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  2. The Eurosystem's asset purchase programmes, securities lending and Bund specialness
    Author: Baltzer, Markus; Schlepper, Kathi; Speck, Christian
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The Eurosystem's asset purchase programmes reduced the free float of German Bunds. Market participants feared impaired market functioning in the Bund market and monetary policymakers unintended consequences for monetary policy transmission. We study... more

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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 12
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    The Eurosystem's asset purchase programmes reduced the free float of German Bunds. Market participants feared impaired market functioning in the Bund market and monetary policymakers unintended consequences for monetary policy transmission. We study the intended and unintended consequences of asset purchases in the repo market with Bund collateral. Bunds that are eligible for APP purchases carry a repo specialness premium even when they are not purchased. This "eligibility premium" is larger than the actual flow effect of purchases identified in previous research. Securities lending (SecL) operations have a flow effect, but its magnitude is even smaller than the flow effect of APP purchases. Therefore, the impact of SecL in the repo market is only of a quite limited extent. Furthermore, the effects of APP and SecL on repo specialness are relatively small compared to those caused by banks' balance sheets window dressing at quarter ends and by the hedging pressure for Bund Futures.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299161
    Other identifier:
    hdl: 10419/265435
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 39
    Subjects: Repos; Quantitative Easing; Securities Lending; Eurosystem; PSPP
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen