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Primes de risque interbancaires et politiques monétaires non conventionnelles dans la zone euro

  • Cécile Bastidon


    (LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon)

  • Nicolas Huchet


    (LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon)

  • Yusuf Kocoglu


    (LEAD - Laboratoire d'Économie Appliquée au Développement - UTLN - Université de Toulon, CEE - Centre d'études de l'emploi - M.E.N.E.S.R. - Ministère de l'Éducation nationale, de l’Enseignement supérieur et de la Recherche - Ministère du Travail, de l'Emploi et de la Santé)

After two years of relative stability, the three months spread between bank offered rates (BOR) and Overnight Indexed Swaps (OIS) in the euro area has quadrupled between July and December 2011 and reached more than 100 basis points. This sharp increase is also observed in the spread between euro-denominated general collateral repos (EUREPO) and EURIBOR, which is another measure of interbank risk premia. This phenomenon has two outstanding characteristics. Firstly, it is not caused by an increase in the EURIBOR rate. Contrary to the 2007-2008 crisis, the increase in interbank spreads is caused by a stabilization of the EURIBOR rate, combined with a decrease in the OIS and EUREPO rates. Secondly, the term structure of EURIBOR shows a normal, positive sloped yield curve. Using a specific monetary policy announcements and financial indicators database, our tests show that in second half of 2011 unconventional actions did not always have a claming effect : Liquidity provision and assets buy-outs announcements decreased interbank markets strains, whereas interest rates decisions seem to have an unexpected stressing effect.

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Paper provided by HAL in its series Post-Print with number hal-00736319.

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Date of creation: 28 Jun 2012
Date of revision:
Publication status: Published in 29èmes journées d'économie monétaire et bancaire GDRE Monnaie Banque Finance, Jun 2012, Nantes, France
Handle: RePEc:hal:journl:hal-00736319
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