The Market Microstructure of Central Bank Bond Purchases
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DOI: 10.1017/s0022109018001370
Abstract: We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystem’s QE program). An initial analysis of purchase decisions reveals that portfolio managers consider… read more here.
Keywords: microstructure central; bond purchases; central bank; market microstructure ... See more keywords