IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-05273325.html
   My bibliography  Save this paper

Stylized facts in money markets: an empirical analysis of the eurozone data

Author

Listed:
  • Victor Le Coz

    (LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Nolwenn Allaire

    (European Central Bank - European Central Bank)

  • Michael Benzaquen

    (LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Damien Challet

    (MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec - Université Paris-Saclay)

Abstract

Using the secured transactions recorded within the Money Markets Statistical Reporting database of the European Central Bank, we test several stylized facts regarding interbank market of the 47-largest banks in the eurozone. We observe that the surge in the volume of traded evergreen repurchase agreements followed the introduction of the LCR regulation and we measure a rate of collateral re-use consistent with the literature. Regarding the topology of the interbank network, we confirm the high level of network stability but observe a higher density and a higher in-and out-degree symmetry than what is reported for unsecured markets.

Suggested Citation

  • Victor Le Coz & Nolwenn Allaire & Michael Benzaquen & Damien Challet, 2025. "Stylized facts in money markets: an empirical analysis of the eurozone data," Post-Print hal-05273325, HAL.
    • Handle: RePEc:hal:journl:hal-05273325
    Note: View the original document on HAL open archive server: https://hal.science/hal-05273325v1
    as

    Download full text from publisher

    File URL: https://hal.science/hal-05273325v1/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Belinda Cheung & Mark Manning & Angus Moore, 2014. "The Effective Supply of Collateral in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 53-66, September.
    2. Matteo Accornero, 2020. "Repo Markets, Collateral Re-use and Systemic Fragility. A Literature Review," Working Papers 7/20, Sapienza University of Rome, DISS.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Victor Le Coz & Nolwenn Allaire & Michael Benzaquen & Damien Challet, 2024. "Stylized facts in money markets: an empirical analysis of the eurozone data," Papers 2410.16021, arXiv.org.
    2. Victor Le Coz & Michael Benzaquen & Damien Challet, 2024. "A minimal model of money creation under regulatory constraints," Papers 2410.18145, arXiv.org.
    3. Victor Le Coz & Michael Benzaquen & Damien Challet, 2025. "A minimal model of money creation within secured interbank markets," Post-Print hal-05273328, HAL.
    4. Justus Inhoffen & Iman van Lelyveld, 2023. "Safe Asset Scarcity and Re-use in the European Repo Market," Working Papers 787, DNB.
    5. Heath, Alexandra & Kelly, Gerard & Manning, Mark & Markose, Sheri & Shaghaghi, Ali Rais, 2016. "CCPs and network stability in OTC derivatives markets," Journal of Financial Stability, Elsevier, vol. 27(C), pages 217-233.
    6. Allaire, Nolwenn & Le Coz, Victor & Benzaquen, Michael & Challe, Damien, 2025. "Stylized facts in money markets: an empirical analysis of the eurozone data," Working Paper Series 3113, European Central Bank.
    7. Chris Becker & Ashley Fang & Jin Cong Wang, 2016. "Developments in the Australian Repo Market," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 41-46, September.
    8. Yuliya Baranova & Zijun Liu & Joseph Noss, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
    9. Jonathan Carroll & Ashwin Clarke, 2014. "The Equity Securities Lending Market," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 31-42, December.
    10. Mr. Manmohan Singh & Rohit Goel, 2019. "Pledged Collateral Market's Role in Transmission to Short-Term Market Rates," IMF Working Papers 2019/106, International Monetary Fund.
    11. Issa, George & Jarnecic, Elvis, 2024. "Collateral reuse as a direct funding mechanism in repo markets," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-05273325. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.