Abstract | Keywords | Export | Availability | Bookmark

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

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.

Scarcity --- Deficiency --- Shortages --- Japan --- Economic conditions. --- Banks and Banking --- Finance: General --- Investments: Bonds --- Money and Monetary Policy --- 'Panel Data Models --- Spatio-temporal Models' --- Single Equation Models: Single Variables: Instrumental Variables (IFV) Estimation --- Quantitative Policy Modeling --- Monetary Policy --- Central Banks and Their Policies --- General Financial Markets: General (includes Measurement and Data) --- Information and Market Efficiency --- Event Studies --- Portfolio Choice --- Investment Decisions --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Finance --- Banking --- Monetary economics --- Investment & securities --- Liquidity --- Securities markets --- Unconventional monetary policies --- Bonds --- Asset and liability management --- Financial markets --- Monetary policy --- Financial institutions --- Sovereign bonds --- Economics --- Banks and banking --- Capital market