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Cheap talk and the efficacy of the ECB’s securities market programme : did bond purchases matter?
Pooter, Michiel de; DeSimone, Rebecca; Martin, Robert F.; … - 2015
Persistent link: https://www.econbiz.de/10011326749
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The liquidity effects of official bond market intervention
Pooter, Michiel de; Martin, Robert F.; Pruitt, Seth - 2015
Persistent link: https://www.econbiz.de/10011326752
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The Liquidity Effects of Official Bond Market Intervention
De Pooter, Michiel - 2016
To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities Markets Programme (SMP), providing a unique opportunity to estimate the effects of large-scale asset purchases on sovereign bond liquidity premia. From reduced-form estimates,...
Persistent link: https://www.econbiz.de/10013007977
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Cheap Talk and the Efficacy of the ECB's Securities Market Programme : Did Bond Purchases Matter?
De Pooter, Michiel - 2015
In 2010, in response to an ever-worsening fiscal crisis, the ECB began purchasing sovereign debt from troubled euro-area countries through its Securities Market Programme (SMP). This program was designed to improve market functioning and restore the monetary transmission mechanism within the...
Persistent link: https://www.econbiz.de/10013014175
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Reconciling TRACE Bond Returns
Kelly, Bryan T.; Pruitt, Seth - 2022
TRACE bond returns are meaningfully different from ICE bond return data used by banks, asset managers, and hedge funds. The core results of Kelly at al. (forthcoming) are robust to instead using WRDS/TRACE data
Persistent link: https://www.econbiz.de/10013291232
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The liquidity effects of official bond market intervention
Pooter, Michiel de; Martin, Robert F.; Pruitt, Seth - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 243-268
Persistent link: https://www.econbiz.de/10011929423