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

被引：15
作者：
Arrata, William [1 ]
Nguyen, Benoit [2 ]
Rahmouni-Rousseau, Imene [3 ]
Vari, Miklos [4 ]
机构：
[1] Bank France, Markets Dept, 31 Rue Croix Petits Champs, F-75001 Paris, France
[2] Bank France, Res Dept, 31 Rue Croix Petits Champs, F-75001 Paris, France
[3] European Cent Bank, Directorate Gen Market Operat, Sonnemannstr 20, D-60314 Frankfurt, Germany
[4] Int Monetary Fund, Monetary & Capital Markets Dept, 700 19th St NW, Washington, DC 20431 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2020年 / 137卷 / 03期
关键词：
Specialness; Repo market; Asset purchases; Money market; RESERVES;
D O I：
10.1016/j.jfineco.2020.04.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
引用
收藏
页码：837 / 856
页数：20
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