in modern monetary and financial systems, namely central bank collateral frameworks. Their importance can be understood …, not defined in a market, but by the collateral frameworks and interest rate policies of central banks. Using the … collateral framework of the Eurosystem as a basis of illustration and case study, the paper brings to light the functioning …

studying an extensive dataset of banks' liquidity uptake and pledged collateral in central bank repos. We document systemic … arbitrage whereby banks funnel credit risk and low-quality collateral to the central bank. Weaker banks use lower quality … collateral to demand disproportionately larger amounts of central bank money (liquidity). This holds both before and after the …

The spread between unsecured and repo rates (collateral spread) fluctuates substantially and is negative on a … significant portion of days. Recent theoretical work argues that collateral spreads are determined by a constrained … collateral spreads arise in equilibrium if unsecured markets are sufficiently tight, unsecured rates spike down, or security …

collateral. The theory is based on unsecured borrowing constraints in the market for liquidity. Repos and security cash …-market trades are alternative means to get liquidity. Collateral spreads (unsecured less repo rate) can turn negative if borrowing …-arbitrage theory sheds light on the evolution of collateral spreads over time …