Pledged Collateral Market's Role in Transmission to Short-Term Market Rates
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- 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.
- Mark Jozsef Manning & Belinda Cheung & Angus Moore, . "The effective supply of collateral in Australia," Journal of Financial Market Infrastructures, Journal of Financial Market Infrastructures.
- Jane E. Ihrig & Edward Kim & Cindy M. Vojtech & Gretchen C. Weinbach, 2019.
"How Have Banks Been Managing the Composition of High-Quality Liquid Assets?,"
Review, Federal Reserve Bank of St. Louis, vol. 101(3).
- Jane E. Ihrig & Edward Kim & Ashish Kumbhat & Cindy M. Vojtech & Gretchen C. Weinbach, 2017. "How Have Banks Been Managing the Composition of High-Quality Liquid Assets?," Finance and Economics Discussion Series 2017-092, Board of Governors of the Federal Reserve System (U.S.).
- Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2013.
"Pricing the term structure with linear regressions,"
Journal of Financial Economics, Elsevier, vol. 110(1), pages 110-138.
- Tobias Adrian & Emanuel Moench, 2008. "Pricing the term structure with linear regressions," Staff Reports 340, Federal Reserve Bank of New York.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017.
"The Hunt for Duration: Not Waving but Drowning?,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 113-153, April.
- Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2015. "The hunt for duration: not waving but drowning?," BIS Working Papers 519, Bank for International Settlements.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2012.
"The Response of Interest Rates to US and UK Quantitative Easing,"
Economic Journal, Royal Economic Society, vol. 122(564), pages 385-414, November.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2012. "The response of interest rates to U.S. and U.K. quantitative easing," Working Paper Series 2012-06, Federal Reserve Bank of San Francisco.
- Simon M. Potter, 2015. "Money markets and monetary policy normalization," Speech 164, Federal Reserve Bank of New York.
- William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
- Sheheryar Malik & Andrew Meldrum, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
- Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
- Yuliya Baranova & Zijun Liu & Joseph Noss, 2016. "The role of collateral in supporting liquidity," Bank of England working papers 609, Bank of England.
- Mr. Manmohan Singh, 2011. "Velocity of Pledged Collateral: Analysis and Implications," IMF Working Papers 2011/256, International Monetary Fund.
- Mr. Manmohan Singh & Haobin Wang, 2017. "Central Bank Balance Sheet Policies and Spillovers to Emerging Markets," IMF Working Papers 2017/172, International Monetary Fund.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gökçer Özgür, 2021. "Shadow banking and financial intermediation," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 731-757, November.
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.- De Rezende, Rafael B. & Ristiniemi, Annukka, 2023.
"A shadow rate without a lower bound constraint,"
Journal of Banking & Finance, Elsevier, vol. 146(C).
- De Rezende, Rafael B. & Ristiniemi, Annukka, 2018. "A shadow rate without a lower bound constraint," Working Paper Series 355, Sveriges Riksbank (Central Bank of Sweden).
- Berardi, Andrea & Plazzi, Alberto, 2022.
"Dissecting the yield curve: The international evidence,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
- Januj Juneja, 2018. "Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 695-715, April.
- Rafael B De Rezende & Annukka Ristiniemi, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
- Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
- Halberstadt, Arne, 2023. "Decomposing the yield curve with linear regressions and survey information," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 25-39.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018.
"UK term structure decompositions at the zero lower bound,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- Istrefi, Klodiana & Mouabbi, Sarah, 2018.
"Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis,"
Journal of International Money and Finance, Elsevier, vol. 88(C), pages 296-313.
- Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- S. Fries & Jean-Stéphane Mésonnier & Sarah Mouabbi & Jean-Paul Renne, 2016. "National natural rates of interest and the single monetary policy in the Euro Area," Working papers 611, Banque de France.
- Jonathan Hambur & Qazi Haque, 2024. "Can we Use High‐Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!," The Economic Record, The Economic Society of Australia, vol. 100(328), pages 3-43, March.
- Halberstadt, Arne, 2021. "Decomposing the yield curve with linear regressions and survey information," Discussion Papers 27/2021, Deutsche Bundesbank.
- Michael Chin & Thomai Filippeli & Konstantinos Theodoridis, 2015. "Cross-country co-movement in long-term interest rates: a DSGE approach," Bank of England working papers 530, Bank of England.
- Jonathan Hambur & Qazi Haque, 2023.
"Can We Use High-Frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!,"
CAMA Working Papers
2023-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
- Jonathan Hambur & Qazi Haque, 2023. "Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!," RBA Research Discussion Papers rdp2023-04, Reserve Bank of Australia.
- Mirco Rubin & Dario Ruzzi, 2020.
"Equity tail risk in the treasury bond market,"
Temi di discussione (Economic working papers)
1311, Bank of Italy, Economic Research and International Relations Area.
- Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
- Martin M Andreasen & Andrew Meldrum, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
- Lou, Dong & Pinter, Gabor & Üslü, Semih & Walker, Danny, 2025. "Yield drifts when issuance comes before macro news," Journal of Financial Economics, Elsevier, vol. 165(C).
- Speck, Christian, 2023. "Pricing the Bund term structure with linear regressions – without an observable short rate," Discussion Papers 08/2023, Deutsche Bundesbank.
- Andrew Meldrum & Matt Roberts-Sklar, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
- Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.
- Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
- Iryna Kaminska & Matt Roberts-Sklar, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.
More about this item
Keywords
; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ; ;Statistics
Access and download statisticsCorrections
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:imf:imfwpa:2019/106. 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: Akshay Modi (email available below). General contact details of provider: https://edirc.repec.org/data/imfffus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.