Monetary transmission right from the start: On the information content of the eurosystem's main refinancing operations
The Eurosystem's main refinancing operations (MRO) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm that the level of MRO rates governed short-term money market rates before the financial crisis. Since the start of the financial crisis, however, the information content of MRO rates has changed. While the levels of MRO rates have lost much of their pre-crisis significance, the spread between the weighted average and the marginal MRO rate has become an important barometer for the actual situation in the money market during the crisis.
Year of publication: |
2011
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Authors: | Abbassi, Puriya ; Nautz, Dieter |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | monetary policy implementation | central bank auctions | European Central Bank | money markets and financial crisis |
Saved in:
freely available
Series: | Discussion Paper Series 1 ; 2011,24 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-86558-757-2 |
Other identifiers: | 672237075 [GVK] hdl:10419/52129 [Handle] RePEc:zbw:bubdp1:201124 [RePEc] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; D44 - Auctions |
Source: |
Persistent link: https://www.econbiz.de/10010307246