Ferrari, Massimo; Guagliano, Claudia; Mazzacurati, Julien - 2021
the launch of the ECB quantitative easing programme has a statistically significant, albeit limited, impact on sovereign … collateral scarcity premia, but this impact is offset by the beginning of the ECB Securities Lending Programme … financial crisis, partly due to regulatory reforms. Using bond-level data from both repo and securities lending markets, this …