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Collateral scarcity and market functioning : insights from the eurosystem securities lending facilities

Greppmair, Stefan; Jank, Stephan - 2023

We utilize the Eurosystem securities lending facilities as a laboratory to investigate the impact of collateral … overall activity in the repo market expands through the collateral multiplier. The improved pricing conditions alleviate … collateral scarcity and enhance market quality in both the repo and cash markets. …

Persistent link: https://www.econbiz.de/10014435510

The Eurosystem's asset purchase programmes, securities lending and Bund specialness

Baltzer, Markus; Schlepper, Kathi; Speck, Christian - 2022

study the intended and unintended consequences of asset purchases in the repo market with Bund collateral. Bunds that are …

Persistent link: https://www.econbiz.de/10013411244

The relevance or otherwise of the central bank’s balance sheet

Miles, David; Schanz, Jochen - 2014

This paper explores the impacts on an economy of a central bank changing the size and composition of its balance sheet. One of the ways in which such asset purchases could influence prices and demand is via portfolio balance effects. We develop and calibrate a simple OLG model in which...

Persistent link: https://www.econbiz.de/10010243977

Quantitative easing,safe asset scarcity and bank lending

Tischer, Johannes - 2021

their collateral supply is determined by their ex ante securities holdings and repo rates. Second, it makes use of the …

Persistent link: https://www.econbiz.de/10012651072

Asset prices, collateral, and unconventional monetary policy in a DSGE model

Hilberg, Björn; Hollmayr, Josef - 2013

In this paper we set up a New-Keynesian model with a heterogenous banking sector to analyze liquidity problems on the interbank market. The presence of an interbank market is essential to consider a situation where an increased liquidity supply by the central bank is only partially passed on to...

Persistent link: https://www.econbiz.de/10010192797

Unconventional monetary policy in an open economy

Gieck, Jana - 2014

The impact of unconventional monetary policies on exchange rates and its spillovers to other economies is not yet fully understood. In this paper I develop a two-country DSGE model with interbank markets and endogenous default probabilities to analyze the cross-border impacts of unconventional...

Persistent link: https://www.econbiz.de/10010471077

Climate change mitigation : how effective is green quantitative easing?

Abiry, Raphael; Ferdinandusse, Marien; Ludwig, Alexander; … - 2022

We develop a two sector incomplete markets integrated assessment model to analyze the effectiveness of green quantitative easing (QE) in complementing fiscal policies for climate change mitigation. We model green QE through an outstanding stock of private assets held by a monetary authority and...

Persistent link: https://www.econbiz.de/10013281474

Should unconventional monetary policies become conventional?

Quint, Dominic; Rabanal, Pau - 2017

The large recession that followed the Global Financial Crisis of 2008-09 triggered unprecedented monetary policy easing around the world. Most central banks in advanced economies deployed new instruments to affect credit conditions and to provide liquidity on a large scale after short-term...

Persistent link: https://www.econbiz.de/10011722664

What are the macroeconomic effects of asset purchases?

Weale, Martin; Wieladek, Tomasz - 2014

We examine the impact of large-scale asset purchases of government bonds on real GDP and the CPI in the United Kingdom and the United States with a Bayesian VAR, estimated on monthly data from 2009 M3 to 2013 M5. We identify an asset purchase shock with sign and zero restrictions. In contrast to...

Persistent link: https://www.econbiz.de/10010403096

Monetary-fiscal interaction and quantitative easing

Hollmayr, Josef; Kühl, Michael - 2019

This paper analyzes the monetary-fiscal interaction if the central bank conducts quantitative easing. Although asset purchases have similar effects on the real economy under monetary and fiscal dominance, wealth effects yield a qualitatively different response on the rate of inflation. Our...

Persistent link: https://www.econbiz.de/10011955624