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Availability of high-quality liquid assets and monetary policy operations: an analysis for the euro area

Author

Listed:
  • Grandia, Roel
  • Hänling, Petra
  • Russo, Michelina Lo
  • Aberg, Pontus

Abstract

This paper provides an overview of supply and demand factors influencing the availability of euro-denominated debt instruments that qualify as high-quality liquid assets (HQLA) in the euro area. The paper estimates the supply of HQLA issued by the public and private sectors as well as the aggregated impact of Eurosystem monetary policy operations on the amount and composition of HQLA held by banks and other economic agents. An assessment of the main demand factors is also presented. Finally, the paper provides some insights into the interaction with and implications for the Eurosystem monetary policy implementation framework in the longer run. JEL Classification: D41, E58, G1, G28

Suggested Citation

  • Grandia, Roel & Hänling, Petra & Russo, Michelina Lo & Aberg, Pontus, 2019. "Availability of high-quality liquid assets and monetary policy operations: an analysis for the euro area," Occasional Paper Series 218, European Central Bank.
    • Handle: RePEc:ecb:ecbops:2019218
    Note: 2992544
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    References listed on IDEAS

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    4. Lucas Marc Fuhrer & Basil Guggenheim & Silvio Schumacher, 2016. "Re‐Use of Collateral in the Repo Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(6), pages 1169-1193, September.
    5. Bech, Morten & Keister, Todd, 2017. "Liquidity regulation and the implementation of monetary policy," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 64-77.
    6. Baldo, Luca & Hallinger, Benoît & Helmus, Caspar & Herrala, Niko & Martins, Débora & Mohing, Felix & Petroulakis, Filippos & Resinek, Marc & Vergote, Olivier & Usciati, Benoît & Wang, Yizhou, 2017. "The distribution of excess liquidity in the euro area," Occasional Paper Series 200, European Central Bank.
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    Citations

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    Cited by:

    1. Jan Marc Berk & Jan Willem van den End, 2022. "Excess Liquidity and the Usefulness of the Money Multiplier," Credit and Capital Markets – Kredit und Kapital, Duncker & Humblot, Berlin, vol. 55(4), pages 457-488.
    2. Aberg, Pontus & Corsi, Marco & Grossmann-Wirth, Vincent & Hudepohl, Tom & Mudde, Yvo & Rosolin, Tiziana & Schobert, Franziska, 2021. "Demand for central bank reserves and monetary policy implementation frameworks: the case of the Eurosystem," Occasional Paper Series 282, European Central Bank.
    3. Anne-Charlotte Paret & Miss Anke Weber, 2019. "German Bond Yields and Debt Supply: Is There a “Bund Premium”?," IMF Working Papers 2019/235, International Monetary Fund.
    4. Laura Auria & Markus Bingmer & Carlos Mateo Caicedo Graciano & Clémence Charavel & Sergio Gavilá & Alessandra Iannamorelli & Aviram Levy & Alfredo Maldonado & Florian Resch & Anna Maria Rossi & Stepha, 2021. "Overview of central banks’ in-house credit assessment systems in the euro area," Occasional Papers 2131, Banco de España.
    5. Gossé Jean-Baptiste, & Anass Mourjane., 2021. "A European safe asset: new perspectives [Actif sûr européen : nouvelles perspectives]," Bulletin de la Banque de France, Banque de France, issue 234.
    6. Alette Tammenga & Pieter Haarman, 2020. "Liquidity risk regulation and its practical implications for banks: the introduction and effects of the Liquidity Coverage Ratio," Maandblad Voor Accountancy en Bedrijfseconomie Articles, Maandblad Voor Accountancy en Bedrijfseconomie, vol. 94(9-10), pages 367-378, October.
    7. Sergio Gavilá & Alfredo Maldonado & Antonio Marcelo, 2020. "The Banco de España in-house credit assessment system," Financial Stability Review, Banco de España, issue Spring.
    8. Matteo Salto & Stefano Zedda & Stefan Zeugner, 2020. "Using Supra-Covered Bonds to Enhance Liquidity in the Euro Area: Assessment of Advantages for the Banking Sector," JRFM, MDPI, vol. 13(12), pages 1-10, November.
    9. Jan Willem van den End, 2019. "Effects of QE on sovereign bond spreads through the safe asset channel," DNB Working Papers 647, Netherlands Central Bank, Research Department.
    10. Raffaele Lenzi & Stefano Nobili & Filippo Perazzoli & Rosario Romeo, 2023. "Banks’ liquidity transformation rate: determinants and impact on lending," Temi di discussione (Economic working papers) 32, Bank of Italy, Economic Research and International Relations Area.
    11. Paola Antilici & Annino Agnes & Gianluca Mosconi, 2021. "TLTROs and collateral availability in Italy," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 12, Bank of Italy, Directorate General for Markets and Payment System.
    12. Sergio Gavilá & Alfredo Maldonado & Antonio Marcelo, 2020. "The Banco de España in-house credit assessment system," Revista de Estabilidad Financiera, Banco de España, issue Spring.
    13. Martijn Boermans, 2022. "A literature review of securities holdings statistics research and a practitioner’s guide," Working Papers 757, DNB.
    14. Gocheva, Viktoriya & Mudde, Yvo & Tapking, Jens, 2022. "Liquidity coverage ratios and monetary policy credit in the time of Corona," Working Paper Series 2668, European Central Bank.

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    More about this item

    Keywords

    asset purchase programme; bank regulation; central bank policies; credit operations; regulatory changes;
    All these keywords.

    JEL classification:

    • D41 - Microeconomics - - Market Structure, Pricing, and Design - - - Perfect Competition
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G1 - Financial Economics - - General Financial Markets
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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