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SUMMARY:Central Bank–Driven Mispricing
DTSTART:20190409T121500
DTEND:20190409T131500
DTSTAMP:20260407T043611Z
UID:14531c72e8ac4fe7e8d9f56e1ee9011a52b07df3d702853a5b3865f0
CATEGORIES:Conferences - Seminars
DESCRIPTION:Davide TOMIO\, University of Virginia\nWe show that bond purch
 ases undertaken in the context of quantitative easing efforts by the Europ
 ean Central Bank created a large mispricing between the market for German 
 and Italian government bonds and their respective futures contracts. On to
 p of the direct effect the buying pressure exerted on bond prices\, we sho
 w three indirect channels through which the scarcity of bonds\, resulting 
 from the asset purchases\, drove a wedge between the futures contracts and
  the underlying bonds: the deterioration of bond market liquidity\, the in
 creased bond specialness on the repurchase agreement market\, and the grea
 ter uncertainty about bond availability as collateral.
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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