The Liquidity of the Government Bond Market—What Impact Does Quantitative Easing Have? Evidence from Sweden
利用瑞典政府债券的独特数据，研究了量化宽松如何影响市场流动性，发现量化宽松会导致流动性恶化，且这种稀缺效应是非线性的，仅在购买量达到一定水平后才超过需求提振带来的改善。
Abstract Quantitative easing (QE) introduced during the 2008 financial crisis, has since remained a key monetary policy tool. Our paper studies how QE affects market liquidity using unique data on Swedish government bonds. We find that there is a deterioration in the level of market liquidity from QE. This scarcity effect is nonlinear. Only after QE reaches a certain volume level, it outweighs the improvement in liquidity from boosting market demand. Unlike market prices, which often react to announcements, liquidity does not change when QE is announced. Instead, the liquidity effect occurs in connection with the actual purchases.