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

Abstract: 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.

Keywords: Monetary policy; Collateral; Liquidity; Volatility; French bond market (search for similar items in EconPapers)
Date: 2012
Note: View the original document on HAL open archive server: https://hal.science/hal-01511935
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Journal of Banking and Finance, 2012, 36 (2), pp.428-438. ⟨10.1016/j.jbankfin.2011.07.019⟩

Downloads: (external link)
https://hal.science/hal-01511935/document (application/pdf)

Related works:
Journal Article: The impact of unconventional monetary policy on the market for collateral: The case of the French bond market (2012)
Working Paper: The impact of unconventional monetary policy on the market for collateral: The case of the French bond market (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01511935

DOI: 10.1016/j.jbankfin.2011.07.019

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().