 The announcements of unconventional monetary policies and sovereign bond liquidity premiaTarek Chebbi and Waleed Hmedat Global Business and Economics Review, 2023, vol. 29, issue 3, 287-315 Abstract: This article makes an original assessment of the ECB's asset purchase program effects on the sovereign bond liquidity premia in selected Euro area periphery countries by employing an event-study analysis during the period of 2009-2015. We provide evidence that monetary news emerged as a key determinant in bond market liquidity as measured by the CDS-bond basis. More specifically, the estimates show that all events were effective in countering upward pressure on Italian liquidity premia. Our findings show also robust and economically significant impact of events associated with securities markets program and outright monetary transactions on the Italian and Spanish liquidity premiums. Alternatively, some insights gained from our study include an imperative for a careful effect identification and the review of the legitimacy of the perfection of bid ask spreads. Surprisingly, the information contained in unconventional monetary announcements does not matter for assessing the liquidity dynamics of the 10-year sovereign bonds. Keywords: monetary policy; asset purchases; European Central Bank; ECB; bond markets; liquidity. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ids:gbusec:v:29:y:2023:i:3:p:287-315 Access Statistics for this article More articles in Global Business and Economics Review from Inderscience Enterprises Ltd |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
Örebro University School of Business.