Ценовые искажения, вмешательство государства и ценообразование на финансовых рынкахPrice Distortions, Government Interventions and Financial Markets Pricing

This study investigates the impact of Central Bank interventions on the pricing dynamics of selectedfinancial markets. The research employs the instrumental variables two- and three-stage least square (TSLS) model approaches. It analyses the effects of variations in the Federal Reserve (Fed) and the European Central bank (ECB) balance sheet size as a proxy for their Unconventional Monetary Policy (UMP) across four distinct intervention scenarios: the 2008–2013 Great Recession, the 2010-2012 Sovereign Debt crisis, the 2020–2021 COVID-19 pandemic periods, and an overarching analysis spanning these timelines. The findings indicate that changes in the size of the Fed’s and the ECB’s balance sheet correlate significantly with the pricing of the principal U.S. and European equity market indices. Notably, while the ECB’s interventions during the COVID-19 crisis are associated with drops in the German treasury yields for a respective rise in the European equity prices, the effectson the U.S. treasury yields are inverse for the Fed’s interventions during the same period, although the top U.S. equity indices also rise, suggesting price distortions within each financial market analyzed. Other forms of Central Bank interventions such as that of the Swiss National Bank (SNB) on the Swiss franc before and after January of 2015 were also analyzed in this study. The findings suggest that unexpected large currency price shocks from the SNB currency dis-intervention of 2015may have long-term implications on the pricing of the debt market in Switzerland, such as widening the municipal bond spreads. All results in this study are found to be robust under the appropriate tests for each of the model specifications.