Professor Pierre Collin Dufresne will present the paper ''Is the bond market competitive?
Evidence from the ECB's asset purchase programme''
We show that during the period of the Public Sector Purchase Program implemented by the
European Central Bank, the prices of sovereign bonds targeted by the PSPP increase predictably
towards month-end and drop subsequently. We propose a sequential search-bargaining model
that captures salient features of the implementation of the PSPP. The model can explain the
predictable pattern as a result of imperfect competition between dealers that are counterparties
to the ECB. Motivated by the model's predictions, we show that the price pattern is more
pronounced (a) for bonds that are targeted by the PSPP, (b) for monthly windows where the
ECB has fewer counterparties, and (c) for monthly windows where the ECB targets a larger
amount of purchases. We discuss the implications of our analysis for future purchase program