
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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Article accepté pour publication ou publiéDate
2012Journal name
Journal of Banking and FinanceVolume
36Number
2Publisher
Elsevier
Pages
428–438
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Show full item recordAbstract (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.Subjects / Keywords
Monetary policy; Collateral; Liquidity; Volatility; French bond marketRelated items
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