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BEGIN:VEVENT
UID:c3bf52d8a75dc76bb635ed76b287ebb1
CATEGORIES:Seminars
CREATED:20171030T164328
SUMMARY:Lunch Seminar: Loriana Pelizzon - Università Ca’ Foscari Venezia
DESCRIPTION;ENCODING=QUOTED-PRINTABLE: Central Bank–Driven Mispricing (with Marti G. Subrahmanyam, Davide Tomio a
 nd Jun Uno)\nAbstract:\n We use millisecond-stamped data from the Mercato d
 ei Titoli di Stato (MTS) cash Treasury bond and the Eurex Treasury bond fut
 ures markets to show that bond purchases, undertaken under the Public Secto
 r Purchase Program by the European Central Bank (ECB), decoupled the close 
 link between the cash bond and futures markets, thus driving a wedge betwee
 n their prices. This result is robust even after controlling for market liq
 uidity in both the markets and overall funding liquidity. In fact, although
  the ECB intervened only in the cash bond market, the futures market was al
 so affected, as the central bank’s intervention depleted market liquidity i
 n both markets and, thus, increasing liquidity commonality. However, the im
 pact of this dislocation on the volume of trade is ambiguous. There is a sl
 ight reduction in the volume of trade in the cash bond market, as represent
 ed by the MTS, accompanied by a large and significant increase in the volum
 e of trade in the corresponding futures market.\n
DTSTAMP:20260406T143311Z
DTSTART:20170704T160000Z
DTEND:20170704T170000Z
SEQUENCE:0
TRANSP:OPAQUE
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