Regulatory Effects on Short-Term Interest Rates

Item Type Conference or Workshop Item (Speech)
Abstract

We analyse the effects of EMIR and Basel III regulations on short-term interest rates. EMIR requires central clearing houses (CCP) to continually acquire safe assets, thus expanding the lending supply of repurchase agreements (repo). Basel III, in contrast, disincentivises the borrowing demand by tightening banks' balance sheet constraints. Using unique datasets of repo transactions and CCP activity, we find compelling evidence for both supply and demand channels. The overall effects are decreasing short-term rates and increasing market imbalances in various forms, all of which entail unintended consequences originated from the new regulatory framework.

Authors Schaffner, Patrick; Ranaldo, Angelo & Vasios, Michalis
Language English
Subjects finance
Date 8 November 2019
Event Title 15th Annual Central Bank Conference on the Microstructure of Financial Markets
Event Location Stockholm
Event Dates 7-8 Nov 2019
Depositing User Patrick Schaffner
Date Deposited 20 Nov 2019 11:12
Last Modified 29 Sep 2020 00:24
URI: https://www.alexandria.unisg.ch/publications/258352

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Schaffner, Patrick; Ranaldo, Angelo & Vasios, Michalis: Regulatory Effects on Short-Term Interest Rates. [Conference or Workshop Item]

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https://www.alexandria.unisg.ch/id/eprint/258352
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