Quantitative easing and the functioning of the gilt repo market

被引:0
作者
Fatouh, Mahmoud [1 ,2 ,3 ,4 ,5 ]
Giansante, Simone [6 ]
Ongena, Steven [7 ,8 ,9 ,10 ]
机构
[1] Bank England, London, England
[2] Univ Leicester, Sch Business, Dept Finance, Leicester, England
[3] Bayes Business Sch, Dept Finance, London, England
[4] City Univ London, Dept Finance, London, England
[5] Univ Essex, Dept Econ, Colchester, England
[6] Univ Palermo, Dept Econ Business & Stat, Palermo, Italy
[7] Univ Zurich, Swiss Finance Inst, Zurich, Switzerland
[8] Katholieke Univ Leuven, Leuven, Belgium
[9] NTNU Business Sch, Trondheim, Norway
[10] CEPR, Trondheim, Norway
基金
欧洲研究理事会;
关键词
Monetary policy; quantitative easing; gilt repo market; leverage ratio; cost of borrowing; leverage ratio requirements; G10; G21; G23;
D O I
10.1080/1351847X.2024.2383641
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We assess the impact of quantitative easing (QE) on the provision of liquidity and pricing in the UK gilt repo market. We compare the behaviour of banks that received reserve injections via QE operations to other similar banks in terms of the amounts lent and pricing. We also investigate whether leverage ratio capital requirements affected the amounts of liquidity supplied by broker-dealers and the spreads they charged. We find that QE interventions can improve liquidity provision and that their size determines how this is attained. QE can also reduce the cost of borrowing in the repo market unless it is associated with spikes in demand for liquidity. Our findings indicate that the leverage ratio supports the provision of liquidity during stress, as it prompts banks to become less leveraged. However, the larger capital charge repo transactions attract under the leverage ratio requirements reflects on the spreads these banks charge.
引用
收藏
页码:31 / 52
页数:22
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