The Market Microstructure of Central Bank Bond Purchases
利用德国债券日内交易数据，从微观结构角度研究量化宽松政策，发现购买决策考虑流动性和稀缺性，购买量降低交易成本但损害订单簿深度，价格影响随市场条件变化。
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 liquidity and the scarcity of securities in repo markets. Suggestive of significant flow effects, we detect price impacts of purchases at high and low frequencies. We find the impact on market liquidity and functioning to be ambiguous. A higher purchase volume lowers transaction costs but has an adverse impact on order-book depth. The price impact varies with market conditions and is higher for more illiquid bonds.