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Access policy and money market segmentation

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  • Sébastien Philippe Kraenzlin
  • Thomas Nellen

Abstract

We analyse deviations between interest rates paid in the Swiss franc unsecured money market and the respective Libor rate. First, banks that have access to the secured interbank market and the SNB's monetary policy operations pay less than banks without access. Second, domestically unchartered, foreign banks pay more than domestic banks. We find that these segmentations are limited both during normal times and during the financial crisis starting 2007 thanks to open access to the secured interbank market and the SNB's monetary policy operations. These findings reveal that a neglected aspect of monetary policy implementation matters, namely access policy.

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Bibliographic Info

Paper provided by Swiss National Bank in its series Working Papers with number 2012-12.

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Length: 32 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:snb:snbwpa:2012-12

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Related research

Keywords: access to central bank money; unsecured interbank money market; money market integration and segmentation; financialcrisis;

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References

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  1. Gara Afonso & Anna Kovner & Antoinette Schoar, 2010. "Stressed, not frozen: the Federal Funds market in the financial crisis," Staff Reports 437, Federal Reserve Bank of New York.
  2. Jean-Charles Rochet & Jean Tirole, 1996. "Interbank lending and systemic risk," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 733-765.
  3. Basil Guggenheim & Sébastien Philippe Kraenzlin & Silvio Schumacher, 2011. "Exploring an uncharted market: Evidence on the unsecured Swiss franc money market," Working Papers 2011-05, Swiss National Bank.
  4. Raphael Auer & Sebastien Kraenzlin, 2011. "International liquidity provision during the financial crisis: a view from Switzerland," Globalization and Monetary Policy Institute Working Paper 75, Federal Reserve Bank of Dallas.
  5. Paolo Angelini & Andrea Nobili & Maria Cristina Picillo, 2009. "The interbank market after August 2007: what has changed, and why?," Temi di discussione (Economic working papers) 731, Bank of Italy, Economic Research and International Relations Area.
  6. Sébastien Philippe Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
  7. Adam Copeland & Antoine Martin & Michael Walker, 2010. "The tri-party repo market before the 2010 reforms," Staff Reports 477, Federal Reserve Bank of New York.
  8. Peter Stella & Seiichi Shimizu & Simon Gray & Ulrich H. Klueh & Alexandre Chailloux, 2008. "Central Bank Response to the 2007-08 Financial Market Turbulence: Experiences and Lessons Drawn," IMF Working Papers 08/210, International Monetary Fund.
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Cited by:
  1. Auer, Raphael & Kraenzlin, Sebastien & Liebeg, David, 2012. "How Do Austrian Banks Fund Their Swiss Franc Exposure?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 24.

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