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Scarcity Effects of Quantitative Easing on Market Liquidity [electronic resource] : Evidence from the Japanese Government Bond Market / Fei Han.

Author/Creator:
Han, Fei.
Publication:
Washington, D.C. : International Monetary Fund, 2018.
Format/Description:
Government document
Book
1 online resource (43 pages)
Series:
IMF eLibrary
IMF Working Papers; Working Paper ; No. 18/96
IMF Working Papers
Status/Location:
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Summary:
Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central bank's holdings of certain securities leads to a scarcity of those securities and hence higher search costs in the market. Using security-level data from the Japanese government bond (JGB) market, this paper finds evidence of the scarcity (flow) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity effects could dominate other effects when the share of the BOJ's holdings exceeds certain thresholds, suggesting that the flow effects may also depend on the stock.
Notes:
Part of the IMF eLibrary collection.
Description based on print version record.
Contributor:
Seneviratne, Dulani.
Other format:
Print Version: Han, Fei Scarcity Effects of Quantitative Easing on Market Liquidity: Evidence from the Japanese Government Bond Market
ISBN:
1484353676 :
9781484353677
Publisher Number:
10.5089/9781484353677.001 doi
Access Restriction:
Restricted for use by site license.