Narrow Your Choices

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Middle East and Central Asia > Jordan

You are looking at 1 - 1 of 1 items for :

  • Type: Journal Issue x
  • Money market x
Clear All Modify Search
Cover IMF Working Papers
The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area
William Arrata
,
Benoit Nguyen
,
Imene Rahmouni-Rousseau
, and
Miklos Vari
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’ excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we explore empirically the interactions between the PSPP and repo rates. We document different channels through which asset purchases may affect them. 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 percent of a bond outstanding is associated with a decline of its repo rate of 0.78 bps. Using an instrumental variable, we find that the full effect may be up to six times higher.
Keywords:
WP; repo rate; repo market; GC rate; SC rate; monetary policy; Specialness; asset purchases; money market; Repo rates; Bonds; Securities; Excess liquidity; Money markets