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Séminaire du LEO du mardi 9 juillet : Supriya Kapoor Du 09 juillet 2019 16h00 au 09 juillet 2019 17h20 | Salle des thèses

Supriya Kapoor (University College Dublin) présentera un article intitulé "The  impact of quantitative easing on liquidity creation"au séminaire de recherche du LEO, le mardi 9 juillet 2019 de 16h à 17h20, salle des thèses.


Abstract


We study the effects of the US Federal Reserve's large-scale asset purchase programs on bank liquidity creation. Banks create liquidity when they transform the liquid reserves resulted from quantitative easing into illiquid assets. As the composition of banks' loan portfolio affects the amount of liquidity it creates, the impact of the different rounds of quantitative easing on liquidity creation is not a priori clear. Using a difference-in-difference identification strategy, we find that banks that were more exposed to the large scale asset purchases have indeed created more liquidity in the banking sector. These effects, however, are only present for the third round of quantitative easing, when the Fed largely purchased mortgage-backed securities, and less so for the other rounds.