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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

Avouyi-Dovi, Sanvi; Idier, Julien (2012), The impact of unconventional monetary policy on the market for collateral: The case of the French bond market, Journal of Banking and Finance, 36, 2, p. 428–438. 10.1016/j.jbankfin.2011.07.019

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DT339.pdf (648.4Kb)
Type
Article accepté pour publication ou publié
Date
2012
Nom de la revue
Journal of Banking and Finance
Volume
36
Numéro
2
Éditeur
Elsevier
Pages
428–438
Identifiant publication
10.1016/j.jbankfin.2011.07.019
Métadonnées
Afficher la notice complète
Auteur(s)
Avouyi-Dovi, Sanvi

Banque de France
Idier, Julien
Banque de France
Résumé (EN)
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used as collateral both in the open market operations of the ECB and on the interbank market. In our time-varying transition probability Markov-switching (TVTP-MS) model, we highlight the existence of two regimes. In one of them, which we refer to as the conventional regime, monetary policy neutrality is verified; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia on the collateral market. The existence of these conventional and unconventional regimes highlights some asymmetries in the conduct of monetary policy.
Mots-clés
Monetary policy; Collateral; Liquidity; Volatility; French bond market
JEL
G10 - General
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
C53 - Forecasting and Prediction Methods; Simulation Methods

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