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 | 21 Jan 2021 01:24 |
URI: | https://www.alexandria.unisg.ch/publications/258352 |
DownloadFull text not available from this repository.CitationSchaffner, Patrick; Ranaldo, Angelo & Vasios, Michalis: Regulatory Effects on Short-Term Interest Rates. [Conference or Workshop Item] Statisticshttps://www.alexandria.unisg.ch/id/eprint/258352
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