GRETA.it - 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

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

Written by Monica Billio

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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.