Markmann Covered Bonds under Unconventional Monetary Policy

1. Auflage 2018
ISBN: 978-3-658-20975-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 129 Seiten

Reihe: Essays in Real Estate Research

Holger Markmann studies covered bonds and their market behaviour upon the announcement and implementation of outright covered bond purchases by the eurosystem. After introducing the covered bond market, its reaction to the global financial crisis, and the functionality of unconventional monetary policy to a broad audience, the author analyzes the impact of these purchases. The first Covered Bond Purchase Programme (CBPP1) has lowered covered bond spreads by 3-4 basis points in the short-term, 10 basis points in the medium-term, and increased emission volumes by € 103 billion. CBPP2 and CBPP3 have not led to similar effects. However, the programs' effectiveness relies on the market's expectations and its prevalent health.About the Author Holger Markmann is PostDoc at the Real Estate Management Institute (REMI) of EBS Universität für Wirtschaft und Recht and Managing Director of a real estate investment firm. His research focuses on real estate capital market financing, bank funding, and unconventional monetary policy. Prior to his current roles, he worked for a bulge bracket investment bank, advising financial institutions on their M&A- and capital market activities.

Holger Markmann is PostDoc at the Real Estate Management Institute (REMI) of EBS Universität für Wirtschaft und Recht and Managing Director of a real estate investment firm. His research focuses on real estate capital market financing, bank funding, and unconventional monetary policy. Prior to his current roles, he worked for a bulge bracket investment bank, advising financial institutions on their M&A- and capital market activities.

Autoren/Hrsg.

Markmann, Holger

Inhaltsverzeichnis

1;Foreword;7
2;Preface;8
3;Table of Contents;9
4;List of Figures;11
5;List of Tables;12
6;List of Abbreviations;13
7;1 Introduction;15
8;2 Covered Bond Market;18
8.1;2.1 Background;18
8.2;2.2 Supply through Bank Funding;22
8.2.1;2.2.1 Comparison to MBS and Senior Unsecured;23
8.2.2;2.2.2 Emission Motives;25
8.2.3;2.2.3 Regulatory Considerations;27
8.3;2.3 Investor Demand;27
8.3.1;2.3.1 Risk Profile;27
8.3.2;2.3.2 Return Considerations;29
8.3.3;2.3.3 Investor Groups;29
8.3.4;2.3.4 Regulatory Considerations;30
8.4;2.4 Market Structure and Pricing;31
8.4.1;2.4.1 Yield Development;31
8.4.2;2.4.2 Credit Risk;33
8.4.3;2.4.3 Liquidity;34
9;3 Unconventional Monetary Policy;36
9.1;3.1 Background;36
9.2;3.2 Unconventional Monetary Policy in the Eurozone;37
9.2.1;3.2.1 Global Financial Crisis and Banking Crisis;38
9.2.2;3.2.2 Sovereign Debt Crisis;41
9.2.3;3.2.3 Deflationary Pressure and Fragile Growth;44
9.3;3.3 Covered Bond Purchases in other Currency Areas;45
9.3.1;3.3.1 Swiss National Bank’s Covered Bond Purchase Program;45
9.3.2;3.3.2 Federal Reserve’s Large-Scale Asset Purchases 1;46
9.4;3.4 Transmission Mechanism;47
9.4.1;3.4.1 Transmission Mechanism in General;48
9.4.1.1;3.4.1.1 Signaling Channel;49
9.4.1.2;3.4.1.2 Portfolio (Re-)Balancing Channel;50
9.4.1.3;3.4.1.3 Liquidity Premium Channel;50
9.4.1.4;3.4.1.4 Bank Lending Channel;51
9.4.1.5;3.4.1.5 Foreign Exchange Rate Channel;51
9.4.2;3.4.2 Transmission Mechanism of Covered Bond Purchases;51
10;4 Impact on Emission Activity;54
10.1;4.1 Data and Methodology;55
10.2;4.2 Results;57
10.3;4.3 Subsidiary Conclusion;60
11;5 Medium-term Impact on the Secondary Market;62
11.1;5.1 Literature;63
11.2;5.2 Data and Methodology;68
11.3;5.3 Results;75
11.4;5.4 Subsidiary Conclusion;82
12;6 Short-term Announcement Impact on the Secondary Market;85
12.1;6.1 Literature;86
12.2;6.2 Data and Methodology;92
12.3;6.3 Results;98
12.4;6.4 Subsidiary Conclusion;108
13;7 Monetary Policy Implications;109
13.1;7.1 Periods of Bank Funding Stress;109
13.2;7.2 Sovereign Debt Crises;111
13.3;7.3 Periods of Deflationary Pressure;112
14;8 Conclusion;114
14.1;8.1 Research Deficiencies and Opportunities;114
14.2;8.2 Summary;115
15;List of References;117
16;Appendix;128
16.1;Appendix 1: Goals of CBPP1 to CBPP3;128
16.2;Appendix 2: Unit Root Test;129