Money Markets, Collateral, and Monetary Policy

• 成果类型: Article; Early Access
• 署名作者: De Fiore, Fiorella; Hoerova, Marie; Rogers, Ciaran; Uhlig, Harald
• 署名单位: Bank for International Settlements (BIS); Centre for Economic Policy Research - UK; European Central Bank; Hautes Etudes Commerciales (HEC) Paris; University of Chicago
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdag041
• 发表日期: 2026
• 关键词: INTERBANK MARKETS; financial crises; liquidity; MODEL

摘要

We document dramatic changes in euro area interbank money markets during the financial and sovereign debt crises: unsecured borrowing declined across the euro area, while secured market haircuts on sovereign bonds increased, and bank borrowing from the European Central Bank rose in southern countries. We construct a quantitative general equilibrium model to assess the macroeconomic impact of these developments and the associated policy response. Our model features heterogeneous banks and sovereign bonds, secured and unsecured money markets, and a central bank. We compare a benchmark policy-the central bank providing collateralized lending to banks at haircuts lower than the market-with an alternative policy that maintains a constant central bank balance sheet. We show that the fall in output, investment, and capital would have been twice as high under the alternative policy.