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- W2897056160 abstract "We show that the European Central Bank’s bond purchases, undertaken in the context of Quantitative Easing, caused significant mispricing between German and Italian government bonds and their respective futures contracts. We document three channels through which the central bank’s bond purchases led to this mispricing: the deterioration of bond market liquidity, the increased bond “specialness” on the repurchase agreement market, and the higher cost of carry. The mispricing we document is the result of two contemporaneous forces: the increased in trading frictions caused by Quantitative Easing, and regulatory capital constraints that imply non-negative required returns on riskless trades." @default.
- W2897056160 created "2018-10-26" @default.
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- W2897056160 date "2018-01-01" @default.
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- W2897056160 title "Central Bank-Driven Mispricing" @default.
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- W2897056160 doi "https://doi.org/10.2139/ssrn.3239407" @default.
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