Central Bank–Driven Mispricing
研究量化宽松如何通过减少国债流动性、提高回购融资成本和持有成本，导致欧洲主权债券与期货之间出现价格脱节，并识别出国债稀缺性是主要驱动因素。
We explore whether Quantitative Easing (QE) negatively affected the functioning of the treasury market. Focusing on the arbitrage between European sovereign bonds and their futures contracts, we show that the scarcity of treasuries created by QE led to a disconnect between the prices of identical assets. We identify three channels: reduced bond market liquidity, increased funding costs in the repo market, and a higher cost of carry. A change in a policy instrument allows us to identify scarcity as the main driver and rule out alternatives, such as balance sheet costs. Our results extend to other arbitrage relations involving treasuries.