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Why the effective price for money exceeds the policy rate in the ECB tenders?
Välimäki, Tuomas - 2008
The tender spread, i.e. the difference between the effective price for money in the ECB's main refinancing operations and the prevailing policy rate, is one of the main determinants behind the evolution of the EONIA with respect to the ECB's operational target. This study assesses the reasons...
Persistent link: https://www.econbiz.de/10003826027
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The relationship between central bank auctions and bill market liquidity
Bats, Joost V.; Hoondert, Jurian J. A. - 2022
This paper investigates the relationship between central bank (reverse) auctions and bill market liquidity. The analysis includes data on the purchases of bills in the auctions by the Dutch Central Bank under the European Central Bank's Pandemic Emergency Purchase Programme (PEPP). The results...
Persistent link: https://www.econbiz.de/10013337422
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Central bank asset purchases and auction cycles revisited : new evidence from the euro area
Ferrara, Federico M. - 2024
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the … public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction … auction cycles is more sizeable and precisely estimated for purchases of securities with medium-term maturities and in …
Persistent link: https://www.econbiz.de/10014527031
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Policy uncertainty, lender of last resort and the real economy
Jasova, Martina; Mendicino, Caterina; Supera, Dominik - 2021
We show that a reduction in lender of last resort (LOLR) policy uncertainty posi-tively affects bank lending and propagates to investment and employment. We exploita unique policy that reduced uncertainty regarding the availability of future LOLRfunding for banks as a quasi-natural experiment....
Persistent link: https://www.econbiz.de/10012426306
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The 2007 subprime market crisis through the lens of European Central Bank auctions for short-term funds
Cassola, Nuno; Hortaçsu, Ali; Kastl, Jakub - 2011
We study European banks’ demand for short-term funds (liquidity) during the summer 2007 subprime market crisis. We use bidding data from the European Central Bank's auctions for one-week loans, their main channel of monetary policy implementation. Our analysis provides a high-frequency,...
Persistent link: https://www.econbiz.de/10009380433
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Bidding behaviour in the ECB's main refinancing operations during the financial crisis
Eisenschmidt, Jens; Hirsch, Astrid; Linzert, Tobias - 2009
Liquidity provision through its repo auctions has been one of the main instruments of the European Central Bank (ECB) to address the recent tensions in financial markets since summer 2007. In this paper, we analyse banks' bidding behaviour in the ECB's main refinancing operations (MROs) during...
Persistent link: https://www.econbiz.de/10003866003
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Funding liquidity risk : definition and measurement
Drehmann, Mathias; Nikolaou, Kleopatra - 2009
In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions...
Persistent link: https://www.econbiz.de/10003832073
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Central bank digital currency : when price and bank stability collide
Fernández-Villaverde, Jesús; Schilling, Linda; Uhlig, … - 2024
This paper shows the existence of a central bank trilemma. When a central bank is involved in financial intermediation, either directly through a central bank digital currency (CBDC) or indirectly through other policy instruments, it can only achieve at most two of three objectives: a socially...
Persistent link: https://www.econbiz.de/10014484337
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Liquidity provision as a monetary policy tool : the ECB's non-standard measures after the financial crisis
Quint, Dominic; Tristani, Oreste - 2017
We study the macroeconomic consequences of the money market tensions associated with the .nancial crisis in the euro area. In a structural VAR, we identify a liquidity shock rooted in the interbank market and use its impulse response functions to calibrate key parameters of a Smets and Wouters...
Persistent link: https://www.econbiz.de/10011754899
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Bank contagion in general equilibrium
Ferrari, Massimo Minesso - 2020
In this paper, I incorporate a complex network model into a state of the art stochastic general equilibrium framework with an active interbank market. Banks exchange funds one another generating a complex web of interbanking relations. With the tools of network analysis it is possible to study...
Persistent link: https://www.econbiz.de/10012241220