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Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations

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  • Abbassi, Puriya
  • Nautz, Dieter

Abstract

The Eurosystem's main refinancing operations (MROs) are key for the interbank money market and the monetary transmission process in the euro area. This paper investigates how money market rates respond to the information revealed by various aspects of an MRO auction outcome. Our results confirm that the level of MRO rates governed short-term money market rates before the financial crisis. Since the start of the financial crisis, however, the information content of MRO rates has changed. While the levels of MRO rates have lost much of their pre-crisis significance, the spread between the weighted average and the marginal MRO rate has become an important barometer for the actual situation in the money market during the crisis.

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  • Abbassi, Puriya & Nautz, Dieter, 2012. "Monetary transmission right from the start: On the information content of the Eurosystem's main refinancing operations," The North American Journal of Economics and Finance, Elsevier, vol. 23(1), pages 54-69.
    • Handle: RePEc:eee:ecofin:v:23:y:2012:i:1:p:54-69
    DOI: 10.1016/j.najef.2011.11.002
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    2. Giordano, Matteo & Goghie, Alexandru-Stefan, 2023. "From Policy to Regime: the changing posture of the ECB between liquidity and collateral through the lens of Monetary Regime," SocArXiv rw3ms, Center for Open Science.
    3. Piotr Fiszeder & Ilona Pietryka, 2018. "Monetary policy in steering the EONIA and POLONIA rates in the Eurosystem and Poland: a comparative analysis," Empirical Economics, Springer, vol. 55(2), pages 445-470, September.

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    More about this item

    Keywords

    Monetary policy implementation; Central bank auctions; European Central Bank; Money markets; Financial crisis;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions

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