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180614 ||| eng |
| 020 |
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|a 9781484353677
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| 100 |
1 |
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|a Han, Fei
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| 245 |
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|a Scarcity Effects of Quantitative Easing on Market Liquidity: Evidence from the Japanese Government Bond Market
|c Fei Han, Dulani Seneviratne
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2018
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| 300 |
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|a 43 pages
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| 651 |
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4 |
|a Japan
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| 653 |
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|a Banks and banking
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| 653 |
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|a Panel Data Models
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| 653 |
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|a Investment Decisions
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| 653 |
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|a General Financial Markets: General (includes Measurement and Data)
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| 653 |
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|a Investments: Bonds
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| 653 |
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|a Finance
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| 653 |
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|a Economics
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| 653 |
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|a Depository Institutions
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| 653 |
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|a Financial institutions
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| 653 |
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|a Securities markets
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| 653 |
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|a Banks
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| 653 |
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|a Monetary Policy
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| 653 |
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|a Mortgages
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| 653 |
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|a Micro Finance Institutions
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| 653 |
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|a Event Studies
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| 653 |
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|a Quantitative Policy Modeling
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| 653 |
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|a Unconventional monetary policies
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| 653 |
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|a Monetary policy
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| 653 |
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|a Banking
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Portfolio Choice
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| 653 |
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|a Sovereign bonds
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| 653 |
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|a Asset and liability management
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| 653 |
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|a Liquidity
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| 653 |
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|a Central Banks and Their Policies
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| 653 |
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|a Information and Market Efficiency
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| 653 |
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|a Investment & securities
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| 653 |
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|a Spatio-temporal Models
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| 653 |
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|a Money and Monetary Policy
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| 653 |
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|a Finance: General
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| 653 |
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|a Monetary economics
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| 653 |
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|a Bonds
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| 653 |
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|a Financial markets
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| 653 |
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|a Single Equation Models: Single Variables: Instrumental Variables (IFV) Estimation
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| 653 |
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|a Capital market
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| 700 |
1 |
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|a Seneviratne, Dulani
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
0 |
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|a IMF Working Papers
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| 856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2018/096/001.2018.issue-096-en.xml?cid=45820-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a 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
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