Scarcity Effects of Quantitative Easing on Market Liquidity

Abstract

Cover -- Table of Contents -- Abstract -- I. Introduction -- II. Key Stylized Facts of JGB Markets -- III. The Measure of Market Liquidity -- IV. Empirical Strategy and Data -- A. Panel Regressions -- B. Data -- V. Results -- A. Maturity-Level Fixed-Effects Panel Regressions -- B. Bond-Level Fixed-Effects Panel Regressions -- C. Fixed-Effects Threshold Panel Regressions -- D. The Role of SLF -- E. Robustness -- VI. Concluding Remarks -- References -- Appendix I. Market Liquidity: Concept and Measurement -- Appendix II. Calculation of the Corwin-Schultz Bid-Ask Spreads -- A. Methodology -- B. Data -- C. Estimated Corwin-Schultz Bid-Ask Spreads -- Appendix III. Results of Panel Regressions