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dc.creatorPelizzon, Loriana
dc.creatorSubrahmanyam, Marti G.
dc.creatorTomio, Davide
dc.creatorUno, Jun
dc.date.accessioned2021-09-28T09:35:13Z
dc.date.available2021-09-28T09:35:13Z
dc.date.issued2018-10-01
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2328
dc.description.abstractWe show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect effects through which the scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the greater uncertainty about bond availability as collateral.
dc.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.subjectMacro Finance
dc.titleCentral Bank-Driven Mispricing
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1465?MTS Group
dc.source.filename226_SSRN-id3239407
dc.identifier.safeno226
dc.subject.keywordscentral bank interventions
dc.subject.keywordsliquidity
dc.subject.keywordssovereign bonds
dc.subject.keywordsfutures contracts
dc.subject.keywordsarbitrage
dc.subject.jelG01
dc.subject.jelG12
dc.subject.jelG14
dc.subject.topic1duration
dc.subject.topic1ecb
dc.subject.topic1regulatory
dc.subject.topic2deutsche
dc.subject.topic2trading
dc.subject.topic2basist
dc.subject.topic3repo
dc.subject.topic3riskless
dc.subject.topic3write
dc.subject.topic1nameCorporate Governance
dc.subject.topic2nameTrading and Pricing
dc.subject.topic3nameFinancial Markets
dc.identifier.doi10.2139/ssrn.3239407


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