| Item Type |
Monograph
(Working Paper)
|
| Abstract |
A repurchase agreement (repo) is a source of funding and collateral. We document that
the money market is more segmented when the collateral motive prevails. Two crucial
aspects of the central bank framework lead to this disconnect: banks' access to the
central bank's deposit facility and assets' eligibility for Quantitative Easing (QE). We
show that repo rates lent by banks with access to the deposit facility and secured by
QE eligible assets are more collateral-driven and disconnected from funding-based money
market rates. Our results are relevant for different monetary policies and have suggestive
implications for the monetary policy pass-through. |
| Authors |
Ballensiefen, Benedikt; Ranaldo, Angelo & Winterberg, Hannah |
| Language |
English |
| Keywords |
Money Market, Segmentation, Deposit Facility, QE, Monetary Policy |
| Subjects |
finance |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SOF - System-wide Risk in the Financial System |
| Date |
4 September 2020 |
| Publisher |
SoF HSG |
| Series Name |
School of Finance Working Paper |
| Volume |
2020 |
| Number |
03 |
| Number of Pages |
54 |
| Official URL |
https://papers.ssrn.com/sol3/papers.cfm?abstract_i... |
| Depositing User |
Christina Ihasz
|
| Date Deposited |
10 Sep 2020 07:22 |
| Last Modified |
22 Dec 2022 02:47 |
| URI: |
https://www.alexandria.unisg.ch/publications/260953 |
Money Market Disconnect
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