The Impact of Corporate QE on Liquidity: Evidence from the UK-Reference-Cited by-同舟云学术

The Impact of Corporate QE on Liquidity: Evidence from the UK

Published:2022-09-16 Issue:648 Volume:132 Page:2615-2643
ISSN:0013-0133
Container-title:The Economic Journal
language:en
Short-container-title:

Author:

Boneva Lena¹,Elliott David²,Kaminska Iryna³,Linton Oliver⁴,McLaren Nick³,Morley Ben⁵

Affiliation:

1. European Central Bank & CEPR , Germany

2. Bank of England & Imperial College London , UK

3. Bank of England , UK

4. University of Cambridge , UK

5. Ben Morley worked on this paper whilst at the Bank of England

Abstract

Abstract There is substantial uncertainty about the impact of quantitative easing on market liquidity. Identifying the impact is particularly challenging due to the potential for reverse causality, because liquidity considerations might affect quantitative easing purchases. We address this challenge by studying the Bank of England’s 2016–7 Corporate Bond Purchase Scheme. In particular, we use granular offer-level data from the Corporate Bond Purchase Scheme auctions to construct proxy measures for the Bank of England's demand for bonds and auction participants’ supply of bonds, allowing us to control for any reverse causality from liquidity to purchases. We find that Corporate Bond Purchase Scheme purchases improved the liquidity of purchased bonds.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

https://academic.oup.com/ej/advance-article-pdf/doi/10.1093/ej/ueac033/46229720/ueac033.pdf

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