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Bidding Behavior in the SNB's Repo Auctions
Kraenzlin, Sébastien; Schlegel, Martin - Schweizerische Nationalbank (SNB) - 2009
banks’ bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender …. Therefore, we estimate bidding functions for banks which participate regularly in the SNB’s auctions. We find that a bank’s bids … from the previous day and the amount of maturing repo operations with the SNB have for most banks a significant effect. The …
Persistent link: https://www.econbiz.de/10008513044
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Bidding Behavior in the SNB's Repo Auctions
Kraenzlin, Sébastien; Schlegel, Martin - Schweizerische Nationalbank (SNB) - 2009
banks' bidding behavior and identify the determinants for the decision to participate as well as on the amount to tender …. Therefore, we estimate bidding functions for banks which participate regularly in the SNB's auctions. We find that a bank's bids … from the previous day and the amount of maturing repo operations with the SNB have for most banks a significant effect. The …
Persistent link: https://www.econbiz.de/10008917444
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Interoperability between central counterparties
Mägerle, Jürg; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2011
In reaction to recent requests for interoperability between central counterparties of European stock markets, regulators have issued new guidelines to contain systemic risk. Our analysis confirms that the currently applied cross-CCP risk management model can be a source of contagion,...
Persistent link: https://www.econbiz.de/10009367191
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The Swiss National Bank's monetary policy policy concept - an example of a 'principles-based' policy framework
Baltensperger, Ernst; Hildebrand, Philipp M.; Jordan, … - Schweizerische Nationalbank (SNB) - 2007
The practice of monetary policy has evolved a great deal since the early 1990s. This evolution was significantly influenced by rapid developments in the theory of monetary policy. A new consensus about 'principles-based' monetary policy appears to be emerging. It marries a firm long-term anchor...
Persistent link: https://www.econbiz.de/10005011495
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What Drives Target2 Balances? Evidence From a Panel Analysis
Auer, Raphael - Schweizerische Nationalbank (SNB) - 2012
increasing T2 imbalances, cross-border inter-office flows between banks belonging to the same financial institution have reduced … magnitude, but are only weakly correlated with the evolution of T2 balances; changes in banks' holdings of foreign government … central bank liquidity. …
Persistent link: https://www.econbiz.de/10010598092
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The Swiss National Bank's monetary policy concept - an example of a 'principles-based' policy framework
Baltensperger, Ernst; Hildebrand, Philipp M.; Jordan, … - Schweizerische Nationalbank (SNB) - 2007
The practice of monetary policy has evolved a great deal since the early 1990s. This evolution was significantly influenced by rapid developments in the theory of monetary policy. A new consensus about 'principles-based' monetary policy appears to be emerging. It marries a firm long-term anchor...
Persistent link: https://www.econbiz.de/10008925072
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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
the introduction of the foreign exchange settlement system CLS the value of intraday liquidity has increased during the … hours of the CLS settlement cycle. Third, the turnover as well as the liquidity in SIC influence the intraday rate …-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008515787
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Access policy and money market segmentation
Kraenzlin, Sébastien Philippe; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2012
rate. First, banks that have access to the secured interbank market and the SNB's monetary policy operations pay less than … banks without access. Second, domestically unchartered, foreign banks pay more than domestic banks. We find that these …
Persistent link: https://www.econbiz.de/10010583705
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Daytime is money
Kraenzlin, Sébastien; Nellen, Thomas - Schweizerische Nationalbank (SNB) - 2010
the introduction of the foreign exchange settlement system CLS the value of intraday liquidity has increased during the … hours of the CLS settlement cycle. Third, the turnover as well as the liquidity in SIC influence the intraday rate …-versus-payment substitute credit risk with liquidity risk which in turn increases the value of intraday liquidity. The analysis is central bank …
Persistent link: https://www.econbiz.de/10008917453
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Re-use of collateral in the repo market
Fuhrer, Lucas Marc; Schumacher, Silvio; Guggenheim, Basil - Schweizerische Nationalbank (SNB) - 2015
This paper introduces a methodology to estimate the re-use of collateral based on actual transaction data. With a comprehensive dataset from the Swiss franc repo market we are able to provide the first systematic empirical study on the re-use of collateral. We find that re-use was most popular...
Persistent link: https://www.econbiz.de/10011122252