Flow Effects of Central Bank Asset Purchases on Sovereign Bond Prices: Evidence from a Natural Experiment
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DOI: 10.1111/jmcb.12665
Abstract: We estimate the response of sovereign bond prices to net supply shocks caused by purchase operations under the ECB's Public Sector Purchase Programme (PSPP). To avoid simultaneity bias in the estimated relationship between prices and… read more here.
Keywords: purchase; bond prices; sovereign bond; flow effects ... See more keywords