Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program

@inproceedings{Arrata2017PriceIO,
  title={Price impact of bond supply shocks: Evidence from the Eurosystem's asset purchase program},
  author={William Arrata and Beno{\^i}t Nguyen},
  year={2017}
}
We use new daily security-level data and test the impact of the Eurosystem's Public sector purchase program (PSPP) on bond returns in the French bond market. We investigate three possible types of supply shocks: related to the cumulative past purchases (“stock”) since the start of the program, the transactions themselves on the day of the purchase (“flow”), and the variation in the expected total size of the program (“expected stock”). Our results show that having purchased 10% of a bond… CONTINUE READING

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