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Asymmetric standing facilities: an unexploited monetary policy tool

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  • Gabriel Perez-Quiros

    ()
    (Banco de España)

  • Hugo Rodríguez Mendizábal

    ()
    (Instituto de Análisis Económico (CSIC))

Abstract

This paper analyzes the role of standing facilities in the determination of the demand for reserves in the overnight money market. In particular, we study how the asymmetric nature of the deposit and lending facilities could be used as a powerful policy tool for the simultaneous control of prices and quantities in the market for daily funds.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/10/Fic/dt1004e.pdf
File Function: First version, March 2010
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1004.

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Length: 36 pages
Date of creation: Mar 2010
Date of revision:
Handle: RePEc:bde:wpaper:1004

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Keywords: Monetary policy implementation; standing facilities; overnight interest rates; fine tuning operations;

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References

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  1. Juan Ayuso & Rafael Repullo, 2003. "A Model of the Open Market Operations of the European Central Bank," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 113(490), pages 883-902, October.
  2. Eisenschmidt, Jens & Hirsch, Astrid & Linzert, Tobias, 2009. "Bidding behaviour in the ECB’s main refinancing operations during the financial crisis," Working Paper Series, European Central Bank 1052, European Central Bank.
  3. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(1), pages 26-56, February.
  4. Gabriel Pérez Quirós & Hugo Rodríguez Mendizábal, 2003. "The Daily Market for Funds in Europe: What Has Changed with the EMU?," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 559.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  5. Välimäki, Tuomas, 2008. "Why the effective price for money exceeds the policy rate in the ECB tenders?," Working Paper Series, European Central Bank 0981, European Central Bank.
  6. Juan Ayuso & Rafael Repullo, 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank," Banco de Espa�a Working Papers, Banco de Espa�a 0105, Banco de Espa�a.
  7. Artuç, Erhan & Demiralp, Selva, 2010. "Discount window borrowing after 2003: The explicit reduction in implicit costs," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 825-833, April.
  8. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series, European Central Bank 0982, European Central Bank.
  9. Gaspar, Vítor & Pérez Quirós, Gabriel & Rodríguez Mendizábal, Hugo, 2008. "Interest rate dispersion and volatility in the market for daily funds," European Economic Review, Elsevier, Elsevier, vol. 52(3), pages 413-440, April.
  10. Juan Ayuso & Rafael Repullo, 2001. "Why Did the Banks Overbid? An Empirical Model of the Fixed Rate Tenders of the European Central Bank," Banco de Espa�a Working Papers, Banco de Espa�a 0105, Banco de Espa�a.
  11. Linzert, Tobias & Schmidt, Sandra, 2007. "What Explains the Spread Between the Euro Overnight Rate and the ECB's Policy Rate?," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 07-076, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  12. Eisenschmidt, Jens & Tapking, Jens, 2009. "Liquidity risk premia in unsecured interbank money markets," Working Paper Series, European Central Bank 1025, European Central Bank.
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Cited by:
  1. Ronald Heijmans & Lola Hern�ndez & Richard Heuver, 2013. "Determinants of the rate of the Dutch unsecured overnight money market," DNB Working Papers, Netherlands Central Bank, Research Department 374, Netherlands Central Bank, Research Department.

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