The scarcity effect of QE on repo rates: Evidence from the euro area

• 成果类型: Article
• 署名作者: Arrata, William; Nguyen, Benoit; Rahmouni-Rousseau, Imene; Vari, Miklos
• 署名单位: European Central Bank; Bank of France; European Central Bank; Bank of France; European Central Bank; International Monetary Fund
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.04.009
• 发表日期: 2020
• 关键词: Specialness; Repo market; Asset purchases; Money market

摘要

Most short-term interest rates in the euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks for excess reserves. This coincided with the start of the Public Sector Purchase Program (PSPP) launched in March 2015. In this paper, we explore empirically the interactions between the PSPP and repo rates. Using proprietary data from PSPP purchases and repo transactions for specific (special) securities, we assess the scarcity channel of PSPP and its impact on repo rates. We estimate that purchasing 1% of a bond outstanding is associated with a decline of its repo rate of 0.78 basis points. (C) 2020 Elsevier B.V. All rights reserved.