ECB bond-buying has had ‘significant’ impact on Bund market

The ECB’s Frankfurt headquarters

A working paper published by the Deutsche Bundesbank investigates how the European Central Bank’s (ECB) Public Sector Purchase Programme (PSPP) has affected the trading of German treasury securities or ‘Bunds’.

In Scarcity effects of QE: a transaction-level analysis in the Bund market, the authors match “high-frequency data on official-sector asset purchases with high-frequency inter-dealer sovereign bond data”.

This, they say, enables them to precisely identify the intraday impact of bond

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