Regulatory effects on short-term interest rates

• 成果类型: Article
• 署名作者: Ranaldo, Angelo; Schaffner, Patrick; Vasios, Michalis
• 署名单位: University of St Gallen; Bank of England
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.016
• 发表日期: 2021
• 页码: 750-770
• 关键词: REPO; Clearing house; EMIR; Basel III; Leverage ratio

摘要

We analyze the effects of prudential regulation on short-term interest rates. The European Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large amounts of cash in reverse repurchase agreements (repos). Basel III, in contrast, disincentivizes the borrowing demand by tightening banks' balance sheet constraints. Using unique regulatory data of CCP investment activity and repo transactions, we find compelling evidence for both the supply and demand channels. The overall effects are decreasing shortterm rates and increasing market imbalances in various forms, all of which entail unintended consequences due to the new regulatory framework. (c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )