The supply and demand for Eurosystem deposits - The first 18 months
This paper describes the demand and supply factors affecting the amounts of deposits held by banks with the Eurosystem in the first 18 months of Stage Three of EMU and differences to the years before. The paper starts from the methodology adopted in a recent study by James Hamilton on 'The supply and demand for Federal Reserve deposits'. While the treatment of the autonomous liquidity factors is in principle similar, the modelling of open market operations and of the recourse to standing facilities diverge. These differences stem from different institutional settings, but also from somewhat different views on the accurate model. In a second part, the paper turns to prices by providing a simple econometric model capturing a large part of the variability of the difference between the EONIA rate (the price for daily funds) and the rate charged for the main refinancing operations JEL Classification: E52, E58
|Date of creation:||Feb 2001|
|Date of revision:|
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- Lee, Yungsook, 1999. "The federal funds market and the overnight Eurodollar market," Research Notes 99-2, Deutsche Bank Research.
- Juan Ayuso & Rafael Repullo, 2003.
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- 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.
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American Economic Association, vol. 87(1), pages 80-97, March.
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- Leonardo Bartolini & Giuseppe Bertoli & Alessandro Prati, 2000.
"Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention,"
Econometric Society World Congress 2000 Contributed Papers
0123, Econometric Society.
- Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2001. "Banks' reserve management, transaction costs, and the timing of Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1287-1317, July.
- Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February.
- Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 1-44, December.
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