Showing 1 - 7 of 7
We assess the effect of accepting illiquid assets as collateral at the central bank on banks' lending activity. We study the lending activity of the 177 largest banks in the Euro area between 2011m1 and 2014m12 and the composition of their pool of collateral pledged with the Eurosystem. Panel...
Persistent link: https://www.econbiz.de/10012954585
We use new daily security-level data and test the impact of the Eurosystem's Public sector purchase program (PSPP) on bond returns in the French bond market. We investigate three possible types of supply shocks: related to the cumulative past purchases (“stock”) since the start of the...
Persistent link: https://www.econbiz.de/10012958718
Some Euro area money market rates have been standing below the deposit facility rate since 2015, which coincided with the start of the Eurosystem's public sector purchase program (PSPP). In this paper, we explore empirically the interactions between the PSPP and short term secured money market...
Persistent link: https://www.econbiz.de/10012941899
Using security-level holdings for all euro-area investors, we study portfolio rebalancing during the quantitative easing program from March 2015 to December 2017. Foreign investors outside the euro area accommodated most of the Eurosystem's pur- chases. Duration, government credit, and corporate...
Persistent link: https://www.econbiz.de/10012855165
With the European debt crisis, the role of assets accepted by the Eurosystem as collateral for refinancing operations took on a new place in the public debate, as, against a backdrop of shifting demand for refinancing, movements in European bond prices led to significant fluctuations in the...
Persistent link: https://www.econbiz.de/10012924337
This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are...
Persistent link: https://www.econbiz.de/10013240797
Since March 2020 the Eurosystem has provided subsidies to Euro-Area banks, via its Targeted Longer-Term Refinancing Operations (TLTRO). Under this program, banks can borrow from the Eurosystem at a rate as low as -1%, conditional on their lending to the real economy. This paper uses a simple...
Persistent link: https://www.econbiz.de/10013313520