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|a Institutional presence in secondary bank bond markets
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|a Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the impact the non-financial private sector has on markets. Investment funds, insurance corporations and pension funds are found to similarly affect market conditions, though to a lesser magnitude. We find a trade-off between volatility and liquidity, where the stronger presence of institutional investors at the same time improves liquidity and increases volatility. The results suggest that possible structural shifts in investor composition matter for market conditions and should be monitored by financial stability authorities.
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Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the impact the non-financial private sector has on markets. Investment funds, insurance corporations and pension funds are found to similarly affect market conditions, though to a lesser magnitude. We find a trade-off between volatility and liquidity, where the stronger presence of institutional investors at the same time improves liquidity and increases volatility. The results suggest that possible structural shifts in investor composition matter for market conditions and should be monitored by financial stability authorities. |
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Oprică, Silviu VerfasserIn aut, Institutional presence in secondary bank bond markets how does it affect liquidity and volatility? Silviu Oprică, Christian Weistroffer, Frankfurt am Main, Germany European Central Bank [2019], 1 Online-Ressource (circa 59 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2276 (May 2019), Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the impact the non-financial private sector has on markets. Investment funds, insurance corporations and pension funds are found to similarly affect market conditions, though to a lesser magnitude. We find a trade-off between volatility and liquidity, where the stronger presence of institutional investors at the same time improves liquidity and increases volatility. The results suggest that possible structural shifts in investor composition matter for market conditions and should be monitored by financial stability authorities., Weistroffer, Christian 1977- VerfasserIn (DE-588)143397168 (DE-627)645148210 (DE-576)336844956 aut, Europäische Zentralbank Working paper series no 2276 (May 2019) 2276 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://doi.org/10.2866/46155 Resolving-System kostenfrei Volltext, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2276~09300538fd.en.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/208310 Resolving-System kostenfrei, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2276~09300538fd.en.pdf LFER, LFER 2019-05-29T00:00:00Z |
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Oprică, Silviu, Weistroffer, Christian, Institutional presence in secondary bank bond markets: how does it affect liquidity and volatility?, Europäische Zentralbank, Working paper series, no 2276 (May 2019), Using newly available information on euro area sectoral holdings of securities, this paper investigates to what extent the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non-bank financial intermediaries, in particular money market funds (MMFs), have a positive impact on secondary bank bond markets’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10% of the notional amount in the secondary market of a representative euro area bank bond. The effect is relative to the impact the non-financial private sector has on markets. Investment funds, insurance corporations and pension funds are found to similarly affect market conditions, though to a lesser magnitude. We find a trade-off between volatility and liquidity, where the stronger presence of institutional investors at the same time improves liquidity and increases volatility. The results suggest that possible structural shifts in investor composition matter for market conditions and should be monitored by financial stability authorities. |
| title |
Institutional presence in secondary bank bond markets: how does it affect liquidity and volatility? |
| title_auth |
Institutional presence in secondary bank bond markets how does it affect liquidity and volatility? |
| title_full |
Institutional presence in secondary bank bond markets how does it affect liquidity and volatility? Silviu Oprică, Christian Weistroffer |
| title_fullStr |
Institutional presence in secondary bank bond markets how does it affect liquidity and volatility? Silviu Oprică, Christian Weistroffer |
| title_full_unstemmed |
Institutional presence in secondary bank bond markets how does it affect liquidity and volatility? Silviu Oprică, Christian Weistroffer |
| title_in_hierarchy |
no 2276 (May 2019). Institutional presence in secondary bank bond markets: how does it affect liquidity and volatility? ([2019]) |
| title_short |
Institutional presence in secondary bank bond markets |
| title_sort |
institutional presence in secondary bank bond markets how does it affect liquidity and volatility |
| title_sub |
how does it affect liquidity and volatility? |
| url |
https://doi.org/10.2866/46155, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2276~09300538fd.en.pdf, http://hdl.handle.net/10419/208310 |
