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The characteristics and development of the Swiss franc repurchase agreement market

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  • Sébastien Kraenzlin

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Abstract

With the reinterpretation of repurchase agreements (repos) by the tax authority and the revision of the national bank law in 1997, allowing the Swiss national bank (SNB) to use repos as monetary policy instrument, the prerequisites for the development of a Swiss franc repo market were given. The development of the repo market in Switzerland only came up in 1999 with the provision of an integrated trading and settlement system provided by SegaInterSettle AG (SIS), Eurex and Swiss Interbank Clearing (SIC) in collaboration with the SNB. The following paper provides an overview of the basic characteristics and structure of the Swiss franc repo market as well as of the development it has undergone since 1999. It also discusses what motives and reasons the banks possess to actively participate in the Swiss franc repo market. Copyright Swiss Society for Financial Market Research 2007

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File URL: http://hdl.handle.net/10.1007/s11408-007-0047-5
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 21 (2007)
Issue (Month): 2 (June)
Pages: 241-261

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Handle: RePEc:kap:fmktpm:v:21:y:2007:i:2:p:241-261

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Repurchase agreement; Monetary policy; Switzerland; Interbank market; E40; E52; E58;

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References

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  1. Thomas J. Jordan & Peter Kugler, 2004. "Implementing Swiss Monetary Policy: Steering the 3M-Libor with Repo Transactions," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 381-393, September.
  2. Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2005. "Monetary policy predictability in the euro area: An international comparison," Working Paper 2005/7, Norges Bank.
  3. Nautz, Dieter & Oechssler, Jorg, 2006. "Overbidding in fixed rate tenders--an empirical assessment of alternative explanations," European Economic Review, Elsevier, vol. 50(3), pages 631-646, April.
  4. Välimäki, Tuomas, 2003. "Central bank tenders: three essays on money market liquidity auctions," Scientific Monographs E:26/2003, Bank of Finland.
  5. Breitung, Jorg & Nautz, Dieter, 2001. "The empirical performance of the ECB's repo auctions: evidence from aggregated and individual bidding data," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 839-856, November.
  6. Michael J. Fleming & Kenneth D. Garbade, 2004. "Repurchase agreements with negative interest rates," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 10(Apr).
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Citations

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Cited by:
  1. Thomas Jordan & Angelo Ranaldo & Paul Soderlind, 2009. "The Implementation of SNB Monetary Policy," University of St. Gallen Department of Economics working paper series 2009 2009-08, Department of Economics, University of St. Gallen.
  2. Sébastien Philippe Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
  3. Sébastien Kraenzlin & Martin Schlegel, 2009. "Bidding Behavior in the SNB's Repo Auctions," Working Papers 2009-14, Swiss National Bank.

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