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

hal.structure.identifier
hal.structure.identifierBanque de France
dc.contributor.authorAvouyi-Dovi, Sanvi*
hal.structure.identifierBanque de France
hal.structure.identifier
dc.contributor.authorIdier, Julien*
dc.date.accessioned2013-03-26T11:10:57Z
dc.date.available2013-03-26T11:10:57Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11155
dc.language.isoenen
dc.subjectMonetary policyen
dc.subjectCollateralen
dc.subjectLiquidityen
dc.subjectVolatilityen
dc.subjectFrench bond marketen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelC.C2.C22en
dc.subject.classificationjelC.C5.C53en
dc.titleThe impact of unconventional monetary policy on the market for collateral: The case of the French bond marketen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherParis 1 Pantheon-Sorbonne University;France
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameJournal of Banking and Finance
dc.relation.isversionofjnlvol36en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2012-02
dc.relation.isversionofjnlpages428–438en
dc.relation.isversionofdoi10.1016/j.jbankfin.2011.07.019en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.identifierhal-01511935*
hal.version1*
hal.update.actionupdateMetadata*
hal.author.functionaut
hal.author.functionaut


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