Liquidity in the German corporate bond market: Has the CSPP made a difference?
研究了欧洲央行公司部门购买计划（CSPP）对德国公司债券市场流动性的影响，发现购买初期支持了流动性，但长期因可交易债券减少而恶化。
The Eurosystem purchased €178 billion of corporate bonds between June 2016 and December 2018 under the Corporate Sector Purchase Programme (CSPP). Did these purchases lead to a deterioration of liquidity conditions in the corporate bond market, thus raising concerns about unintended consequences of large-scale asset purchases? To answer this question, we combine the Bundesbank's detailed CSPP purchase records with a range of liquidity indicators. We find that while the flow of purchases initially supported secondary market liquidity by providing a predictable source of demand, liquidity conditions deteriorated in the long-run as the Bundesbank reduced the stock of corporate bonds available for trading in the secondary market. • We study the effect of the Bundesbank's Corporate Sector Purchase Programme (CSPP) on market liquidity. • We differentiate between the impact of the Bundesbank's purchase flow on contemporaneous liquidity... • ... and the impact of the cumulative purchases on liquidity after the end of the active purchase phase. • We find that initially, the flow of purchases supported liquidity by providing a predictable source of demand. • In contrast, liquidity conditions deteriorated in the long-run as the stock of bonds available for trading declined.