TY  - UNPD
A1  - Pelizzon, Loriana
A1  - Subrahmanyan, Marti G
A1  - Tomio, Davide
A1  - Uno, Jun
T1  - Central bank-driven mispricing
T2  - SAFE working paper series ; No. 226
N2  - We show that bond purchases undertaken in the context of quantitative easing efforts by the European Central Bank created a large mispricing between the market for German and Italian government bonds and their respective futures contracts. On top of the direct effect the buying pressure exerted on bond prices, we show three indirect effects through which the scarcity of bonds, resulting from the asset purchases, drove a wedge between the futures contracts and the underlying bonds: the deterioration of bond market liquidity, the increased bond specialness on the repurchase agreement market, and the greater uncertainty about bond availability as collateral.
T3  - SAFE working paper - 226 
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/47238
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-472382
UR  - https://ssrn.com/abstract=3239407
N1  - First version: May 2017. This version: August 2018.
IS  - This version: August 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -