The European Repo Market, ECB Intervention and the COVID-19 Crisis

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DC Field	Value
dc.identifier	ECF_chapter_4164
dc.contributor.author	Billio Monica
dc.contributor.author	Costola Michela
dc.contributor.author	Mazzari Francesco
dc.contributor.author	Pelizzon Loriana
dc.title	The European Repo Market, ECB Intervention and the COVID-19 Crisis
dc.type	Chapter
dc.language.iso	en
dc.description.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.
dc.relation.ispartof	Innovation in Business, Economics & Finance
dc.publisher	Edizioni Ca’ Foscari - Digital Publishing, Fondazione Università Ca’ Foscari
dc.issued	2020-07-31
dc.dateAccepted	2020-06-30
dc.dateSubmitted	2020-06-03
dc.identifier.uri	http://edizionicafoscari.it/en/edizioni4/libri/978-88-6969-443-1/the-european-repo-market-ecb-intervention-and-the/
dc.identifier.doi	10.30687/978-88-6969-442-4/004
dc.identifier.eissn	2784-8574
dc.identifier.isbn
dc.identifier.eisbn	978-88-6969-442-4
dc.rights	Creative Commons Attribution 4.0 International Public License
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
item.fulltext	with fulltext
item.grantfulltext	open
dc.peer-review	yes
dc.subject	COVID-19 crisis
dc.subject	COVID-19 crisis
dc.subject	ECB announcements
dc.subject	ECB announcements
dc.subject	European repo market
dc.subject	European repo market
dc.subject	Flight-to-quality
dc.subject	Flight-to-quality
dc.subject	Repo specialness
dc.subject	Repo specialness

Chapter
open access peer reviewed

The European Repo Market, ECB Intervention and the COVID-19 Crisis

Monica Billio Università Ca’ Foscari Venezia, Italia

Michela Costola Università Ca’ Foscari Venezia, Italia

Francesco Mazzari Università Ca’ Foscari Venezia, Italia

Loriana Pelizzon Leibniz Institute for Financial Research SAFE, Frankfurt, Deutschland; Università Ca’ Foscari Venezia, Italia

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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.

Published

July 31, 2020

Accepted

June 30, 2020

Submitted

June 3, 2020

Language

ISBN (EBOOK)

978-88-6969-442-4

Keywords: Repo specialness • ECB announcements • COVID-19 crisis • Flight-to-quality • European repo market

permalink: http://doi.org/10.30687/978-88-6969-442-4/004

Copyright: © 2020 Monica Billio, Michela Costola, Francesco Mazzari, Loriana Pelizzon. This is an open-access work distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction is permitted, provided that the original author(s) and the copyright owner(s) are credited and that the original publication is cited, in accordance with accepted academic practice. The license allows for commercial use. No use, distribution or reproduction is permitted which does not comply with these terms.

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