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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Banking and Finance
MetadataShow full item record
Banque de France
Banque de France
Abstract (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 / KeywordsMonetary policy; Collateral; Liquidity; Volatility; French bond market
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