Financial Engineering Workshop - Gerardo Ferrara - Bank of England - via Microsoft Teams

Gerardo Ferrara is a senior economist in the Market Behaviour & Activities Team within the Financial Stability, Strategy and Risk (FSSR) Directorate of the Bank of England. He will be giving an online seminar titled “The COVID-19 Auction Premium” on Wednesday 27th January 2021 from 18:10 - 19:15.

Abstract: We uncover an additional channel by which a pandemic is costly for taxpayers, namely the surge of the bond auction premium. By applying a novel econometric strategy to highfrequency data of the secondary Italian bond market, we show that the premium spiked during the “perfect storm” of 12 March 2020, a day which featured a large Treasury auction, the peak of COVID-19 infections in Italy and a controversial press conference following the announcement of the ECB Governing Council monetary policy decisions. We quantify the Treasury issuance cost at 136 bps of the auction size. Our results indicate that subsequent monetary policy measures, implemented since 18 March 2020, effectively reduced volatility, wiping out the premium during the second wave of the pandemic.

Gerardo Ferrara is a senior economist in the Market Behaviour & Activities Team within the Financial Stability, Strategy and Risk (FSSR) Directorate of the Bank of England. His work focuses on macroprudential and microprudential policies and their interactions, market infrastructures, international financial integration, banking, and systemic risk. His research interests include the use of firm-level data to examine the activities of bank and non-bank financial institutions. Prior to joining the Bank of England, he also worked in the private sector as a quantitative analyst on issues related to asset management, risk management, and policy implementation. He holds a PhD in Economics from the Vilfredo Pareto Doctorate in Economics (University of Turin) and Collegio Carlo Alberto.
 

The Financial Engineering Workshop will now be online only via Microsoft Teams. 

For the link to the online seminar please register before 2pm on the day of the seminar otherwise you will not be given access.