Als Vortragenden dürfen wir Philipp Lentner (Vienna University of Economics and Business) begrüßen.

Er wird sein Paper „Price pressure during central bank asset purchases: Evidence from the covered bond market” vorstellen.

Abstract: This paper studies how the Eurosystem covered bond purchase program announced on September 4, 2014 affected covered bond data on return performance, yields, issuance and cover pools. In line with inelastic markets, difference-in-difference regressions show that a 1% purchase of outstanding amounts increased bond valuations of German covered bonds by 3.68 bps, relative to a sample of closely matched Scandinavian covered bonds. 85.33% of this effect accrued in the first six weeks of purchases and it reversed by event year three (down to 20.80%). Simultaneously, banks issue abnormal amounts of covered bonds in line with issuers locking in a temporary funding advantage. Evidence from cover pool data shows that banks increased cover pool risk, i.e. lengthened the duration of cover pool assets relative to liabilities by 25%.

Das Brown Bag Seminar findet am 29. Juni 2022 hybrid im Raum D3.C.218 von 12:00-13:00 Uhr statt.

Alternativ können Sie dem Talk via MS Teams folgen. Um dem Stream beizutreten, folgen Sie bitte diesem LINK.