EconPapers    
Economics at your fingertips  
 

Liquidity in the German corporate bond market: Has the CSPP made a difference?

Lena Boneva, Mevlud Islami and Kathi Schlepper

No 08/2021, Discussion Papers from Deutsche Bundesbank

Abstract: The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market, thus raising concerns about unintended consequences of large-scale asset purchases? To answer this question, we combine the Bundesbank's detailed CSPP purchase records with a range of liquidity indicators for both purchased and nonpurchased bonds. We find that while the flow of purchases supported secondary market liquidity, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market.

Keywords: Corporate Bond Market; Central Bank Asset Purchases; Market Liquidity (search for similar items in EconPapers)
JEL-codes: E52 F30 G12 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-cba, nep-eec, nep-fmk, nep-isf, nep-mac, nep-mon and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/232071/1/1752364813.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:082021

Access Statistics for this paper

More papers in Discussion Papers from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2022-09-29
Handle: RePEc:zbw:bubdps:082021