Implementing Swiss Monetary Policy: Steering the 3M-Libor with Repo Transactions
This paper provides an empirical analysis of the effects of the SNB's operating procedure on the adjustment speed and the volatility of Swiss franc Libor of different maturities. More precisely it presents econometric estimates of the effect of the two characteristics of the repo auctions on the conditional mean and variance of the Libor using daily data from January 2000 to September 2003. The results obtained indicate that the total allotment ratio and the share of the allotment to one-day repos on total allotment have no influence on the adjustment speed of the Libor to the center of the target range. However, the allotment ratio has a clear and highly significant negative influence on the volatility of short-term rates.
Volume (Year): 140 (2004)
Issue (Month): III (September)
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- Gaspar, Vítor & Pérez Quirós, Gabriel & Sicilia, Jorge, 2001.
"The ECB monetary policy strategy and the money market,"
Working Paper Series
0069, European Central Bank.
- Gaspar, Vitor & Perez-Quiros, Gabriel & Sicilia, Jorge, 2001. "The ECB Monetary Policy Strategy and the Money Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 325-42, October.
- Juan Ayuso & Rafael Repullo, 2003.
"A Model of the Open Market Operations of the European Central Bank,"
Royal Economic Society, vol. 113(490), pages 883-902, October.
- Ayuso, J. & Repullo, R., 2000. "A Model of the Open Market Operations of the European Central Bank," Papers 0011, Centro de Estudios Monetarios Y Financieros-.
- Juan Ayuso & Rafael Repullo, 2000. "A Model of the Open Market Operations of the European Central Bank," Working Papers 0016, Banco de España;Working Papers Homepage.
- Ayuso, Juan & Repullo, Rafael, 2000. "A Model of the Open Market Operations of the European Central Bank," CEPR Discussion Papers 2605, C.E.P.R. Discussion Papers.
- 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.
- Bindseil, Ulrich, 2004. "Over- and underbidding in central bank open market operations conducted as fixed rate tender," ZEI Working Papers B 03-2004, University of Bonn, ZEI - Center for European Integration Studies.
- Vítor Gaspar & Gabriel Perez-Quiros & Jorge Sicilia, 2001. "The ECB monetary policy strategy and the money market," Working Papers 47, Oesterreichische Nationalbank (Austrian Central Bank).
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