The Liquidity Effects of Official Bond Market Intervention
利用欧洲央行证券市场计划（SMP）干预主权债券市场的独特机会，研究发现官方大规模购买显著且持久地降低了主权债券的流动性溢价，并构建搜索型资产定价模型解释这一现象。
To “ensure depth and liquidity,” the European Central Bank intervened in sovereign debt markets through its Securities Markets Programme (SMP), providing a unique opportunity to estimate the effects of large-scale asset purchases on sovereign bond liquidity premia. From reduced-form estimates, we find robust, economically significant impact and lasting reductions in sovereign bonds’ liquidity premia in response to official purchases. We develop a search-based asset-pricing model to understand our empirical results. The theory implies that bond liquidity premia fall in response to both official purchases and rising sovereign default probabilities, as seen in the data.