• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • LEDa (UMR CNRS 8007, UMR IRD 260)
  • LEDa : Publications
  • View Item
  •   BIRD Home
  • LEDa (UMR CNRS 8007, UMR IRD 260)
  • LEDa : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

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

View/Open
DT339.pdf (648.4Kb)
Type
Article accepté pour publication ou publié
Date
2012
Journal name
Journal of Banking and Finance
Volume
36
Number
2
Publisher
Elsevier
Pages
428–438
Publication identifier
10.1016/j.jbankfin.2011.07.019
Metadata
Show full item record
Author(s)
Avouyi-Dovi, Sanvi

Banque de France
Idier, Julien
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 / Keywords
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

Related items

Showing items related by title and author.

  • Thumbnail
    Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market 
    Idier, Julien; Avouyi-Dovi, Sanvi (2010-01) Document de travail / Working paper
  • Thumbnail
    Technology shocks and monetary policy : Revisiting the Fed's performance 
    Matheron, Julien; Avouyi-Dovi, Sanvi (2007) Article accepté pour publication ou publié
  • Thumbnail
    On the welfare costs of misspecified monetary policy objectives 
    Avouyi-Dovi, Sanvi; Sahuc, Jean-Guillaume (2011-06) Article accepté pour publication ou publié
  • Thumbnail
    The housing market: the impact of macroprudential measures in France 
    Labonne, Claire; Lecat, Rémy; Avouyi-Dovi, Sanvi (2014-04) Article accepté pour publication ou publié
  • Thumbnail
    The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises 
    Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick (2015) Document de travail / Working paper
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo