Venerdì, 26 Febbraio 2021 20:04

The European Repo Market, ECB Intervention and the COVID-19 Crisis , A new world post COVID-19: lessons from business, the finance industry and policy makers

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Billio M, Costola M, Mazzari F, Pelizzon L 

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  • Published in: Edizioni Ca' Foscari, vol. 1, pp. 57-67 (ISBN 978-88-6969-442-4)
  • Year: 2020
  • Abstract: During the COVID-19 crisis, the combined effect of ECB communications, concerns on sovereigns’ stability, illiquidity and market expectations led to a flight to quality. This produced a sell-off of peripheral sovereign bonds that drove the repo rates of core and peripheral countries out-of-sync. Two ECB announcements affected the repo market, namely (i) the Press Conference of the ECB Governing Council on March 12, 2020 and (ii) the announcement of a €750 billion Pandemic Emergency Purchase Program (PEPP). These two announcements had heterogeneous effects in the European repo market which we shall investigate.
Read 1243 times Last modified on Venerdì, 26 Febbraio 2021 20:08
Monica Billio

Full Professor in Econometrics - Ca’ Foscari University of Venice, Department of Economics

Promoting partner, Scientific Committees and Director of the Area Data Science