Monetary transmission right from the start: The (dis)connection netween the money market and the ECB's main refinancing rates
The relation between the ECB's main refinancing (MRO) rates and the money market is key for the monetary transmission process in the euro area. This paper investigates how money market rates respond to the new information revealed by MRO auctions. Our results confirm a stabilizing level relationship between the overnight rate Eonia and MRO rates before the financial crisis. Since the start of the financial crisis, however, we find that MRO auction outcomes even exacerbated the disconnection of money market rates from the policy-intended interest rate level. These findings support the fixed rate full allotment policy introduced by the ECB as an unconventionalmeasure to re-stabilize banks' refinancing conditions.
Year of publication: |
2010
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Authors: | Abbassi, Puriya ; Nautz, Dieter |
Publisher: |
Berlin : Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft |
Subject: | Refinanzierung | Geldpolitik | Geldmarkt | Zinspolitik | Offenmarktpolitik | Transmissionsmechanismus | Zins | Finanzmarktkrise | EU-Staaten | Financial Crisis | Monetary transmission process | Central bank auctions | European Central Bank | Money markets |
Saved in:
freely available
Series: | Diskussionsbeiträge ; 2010/7 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-3-941240-19-3 |
Other identifiers: | 625891872 [GVK] hdl:10419/36684 [Handle] RePEc:zbw:fubsbe:20107 [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/10010300713