Money Market Disconnect

• 成果类型: Article
• 署名作者: Ballensiefen, Benedikt; Ranaldo, Angelo; Winterberg, Hannah
• 署名单位: University of St Gallen; The World Bank; Swiss Finance Institute (SFI)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad022
• 发表日期: 2023
• 页码: 4158
• 关键词: reserves

摘要

A repurchase agreement (repo) is a source of cash 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 have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.