The Impact of the ECB Asset Purchases on the European Bond Market Structure: Granular Evidence on Ownership Concentration

Boermans, Martijn Adriaan; Keshkov, Viacheslav

doi:10.2139/ssrn.3173561

Cited by 8 publications

(6 citation statements)

References 63 publications

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“…The idea of the ECB as a new lender of last resort is quite controversial but it is unanimous that the loss of a lender of last resort can make a monetary union very sensitive to changing market sentiments, creating a potential self-fulfilling prophecy: changing market sentiment may determine a sudden stop in government funding, setting in motion a dangerous vicious circle between liquidity and solvency crisis (De Grauwe, 2011). In light of this, it appears very important the ECB announcement in 2015 of the beginning of the Public Sector Purchase Programme (PSPP), which have made the ECB and the participating National Central Banks (NCBs) the dominant investors in the European sovereign bond market (Boermans and Keshkov, 2018).…”

Section: Discussionmentioning

confidence: 99%

The Italian nominal interest rate conundrum: A problem of growth or public finance?

Caravaggio

Carnazza

2022

Structural Change and Economic Dynamics

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Section: Discussionmentioning

confidence: 99%

The Italian nominal interest rate conundrum: A problem of growth or public finance?

Caravaggio

Carnazza

2022

Structural Change and Economic Dynamics

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“…The DID model is used byBoermans and Keshkov (2018) to analyze the impact of the ECB asset purchasing program on the European bond market Gunji et al (2018). also use a DID model to investigate the impact of the BOJ's ETF purchasing policy on corporate performance.…”

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confidence: 99%

The BOJ's ETF purchases and its effects on Nikkei 225 stocks

Harada

Okimoto

2021

International Review of Financial Analysis

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This paper examines the impacts of the Bank of Japan's (BOJ) exchange-traded funds (ETFs) purchasing program that has been conducted since December 2010. The program is a part of the BOJ's unconventional monetary policy and has accelerated since the introduction of the Quantitative and Qualitative Easing in April 2013. In this study, the influence of underlying stocks is assessed by comparing the performance of the stocks (those included in the Nikkei 225 and others) using a difference-in-difference analysis. We also separate morning and afternoon returns to control for the fact that the BOJ tends to purchase ETFs when performance of the stock market is weak, in the morning session. We find that the Nikkei 225 component stocks' afternoon returns are significantly higher than those of non-Nikkei 225 stocks when the BOJ purchases ETFs. However, the subsample analysis demonstrates that the impact on Nikkei 225 stock returns becomes smaller over time despite the growing purchase amounts. Overall, our results indicate that the cumulative treatment effects on the Nikkei 225 are around 20% as of October 2017.

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“…In addition, Eurosystem purchases had a bearing on the investor composition and overall market structure. Boermans and Keshkov (2018) find that the ownership concentration of eligible sovereign bonds increased relative to a control group during the life of the PSPP, potentially due to asymmetric portfolio rebalancing effects. They conclude that purchases had negative effects on the investor base and thereby potentially increased the fragility of the financial system.…”

Section: Chart 15mentioning

confidence: 89%

Assessing the Efficacy, Efficiency and Potential Side Effects of the ECB's Monetary Policy Instruments Since 2014

et al. 2021

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This paper summarises the work done by Eurosystem staff in the context of the Strategy Review Seminar on Monetary Policy Instruments. More specifically, it focuses on the efficacy, efficiency and potential side effects of the key monetary policy instruments employed by the European Central Bank since 2014. The following main findings emerge from the analysis. First, instruments have been effective in easing financing conditions and supporting economic growth, employment and inflation. Second, considering the effective lower bound on policy rates, a combination of instruments is generally more efficient than relying on a single tool. Third, side effects have been generally contained so far, but they are found to vary over time and need to be closely monitored on an ongoing basis. Fourth, the monetary policy toolkit needs to remain innovative, diversified, and flexible, i.e. reviewed regularly to ensure that it remains fit for purpose against the backdrop of evolving financial and macroeconomic conditions.

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The Impact of the ECB Asset Purchases on the European Bond Market Structure: Granular Evidence on Ownership Concentration

Cited by 8 publications

References 63 publications

The Italian nominal interest rate conundrum: A problem of growth or public finance?

The Italian nominal interest rate conundrum: A problem of growth or public finance?

The BOJ's ETF purchases and its effects on Nikkei 225 stocks

Assessing the Efficacy, Efficiency and Potential Side Effects of the ECB's Monetary Policy Instruments Since 2014

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