We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

We explore the transmission of the ECB's public sector asset purchase programme (PSPP) via the portfolio rebalancing of investment funds and their investors. Evidence for this channel would validate several theoretical propositions and provide insights into market perceptions of intervention...

The likelihood of severe contractions in an asset's liquidity can feed back to the ex ante risks faced by the individual providers of such liquidity. These self-reinforcing effects can spread to other assets through informational externalities and hedging relations. We explore whether such...

The path of the policy interest rate expected by financial markets was shifted by the ECB's forward guidance of July 2013. This provides tentative evidence that market expectations had, in advance of the forward guidance, diverged from a path that would have been consistent with the ECB's normal...

Regulation of Money Market Funds (MMFs) in the EU requires some categories of MMFs to consider applying liquidity management tools if they breach a minimum 'weekly' liquidity requirement. Anticipation of the application of such tools is a plausible amplifier of run risks. Using a larger European...

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...