by the Fed, the ECB, the BoE and the BoJ,
plotted against the rolling 3m change in spreads.
While the relationship is not perfect
liquidity flows across asset classes and across borders,
and there are announcement and confidence effects
in addition to the straightforward impact on net supply
...it's the liquidity injections, not fundamentals,
which we would argue has been the major driver of markets for the past few years.
Very roughly, the charts suggest that zero stimulus
would be consistent with 50bp widening in investment grade,
or a little over a ten percent quarterly drop in equities.
...it takes around $200bn per quarter
just to keep markets from selling off."
Citi's Matt King