november, 2018

13nov12:00 pm1:15 pmSimon SchmicklerGovernment Bond Supply Shocks and Asset PricesEvent:Student Research Workshop


Event Details

Abstract:  I propose an empirical IO – Asset Pricing model to analyze the impact of government bond supply shocks. I use securities holdings microdata from the German Bundesbank and instrumental variables for bond yields to estimate asset demand of investors and asset supply of firms for use in counterfactual experiments. I show that the model replicates several recent findings on bond issuance, portfolio and bond spread dynamics, supply shock spillovers and the impact of quantitative easing (QE). Hence, I use the model for policy analysis. I estimate that QE lowers corporate bond yields by 0.1% and stimulates net issuance of EUR 11 billion in Germany.


(Tuesday) 12:00 pm - 1:15 pm


Bendheim Center for Finance Room 101