Euro money market spreads during the 2007–? financial crisis (original) (raw)
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Social Science Research Network, 2007
† We thank Natacha Valla for valuable comments as well as the participants in an internal seminar at the Banque de France. A special thanks to Stefano Nardelli for useful suggestions and for providing us data. 1 Résumé En mars 2004, l'Eurosystème a mis en place différentes modifications de son cadre opérationnel et de sa gestion de la liquidité. L'objectif de cet article est d'étudier les effets de ces changements sur le niveau et la volatilité de l'écart entre l'Eonia et le taux de soumission minimum. Nos résultats montrent que ces changements ont globalement eu un effet positif sur le niveau et la volatilité du spread. La baisse de la volatilité observée après 2004 est largement expliquée par ces modifications.
In the present paper we study the determinants of the spreads of bank loans and deposits by euro‐ area's non‐financial corporations. We use panel VAR techniques, in order to test for causality relationships and produce impulse response functions, for the period from 2003:1 to 2014:12. The countries are separated to two groups, in order to examine for heterogeneities in the relationships of NFC bank spreads and the period is separated to before the eruption of the global financial crisis and to the period after the collapse of Lehman. We find that significant heterogeneities existed, even before the global financial crisis and remained in its aftermath, although the magnitude and the direction of the effects exercised by the explanatory variables has changed ever since. Finally, we ask in what way the increase in the liquidity available in the euro‐ area economy, as reflected in changes of ECB's base money, due to the non‐standard measures adopted in the aftermath of the glob...
SSRN Electronic Journal, 2000
We analyze the dynamics of the bank interest rates on the new short-term loans granted to nonfinancial corporations in seven countries of the euro area (France, Germany, Greece, Ireland, Italy, Portugal and Spain). Our specification is based on a multivariate diffusion model, involving factors and stochastic volatilities. In the application, we use a harmonized monthly database collected by the national central banks of the Eurosystem, over the period January 2003-November 2012. We estimate the model within a Bayesian framework, using Markov Chains Monte Carlo methods (MCMC). Unlike the results on spot rates in the empirical financial literature, we find that bank interest rates do not display evidence of mean reversion, and that the variance increases with the level of the bank rates only for a few countries. Moreover, we notice that the correlations between changes in the rates are not constant over the whole time period, and peak during the last months of 2008. Afterwards, they return more or less quickly to their previous level for some countries, while they remain lower for others. From this standpoint, the patterns within the euro area became more heterogeneous after the years 2008-2009. JEL Classification: E430; G210.
Euro money market interest rates dynamics and volatility
RePEc: Research Papers in Economics, 2010
† We thank Natacha Valla for valuable comments as well as the participants in an internal seminar at the Banque de France. A special thanks to Stefano Nardelli for useful suggestions and for providing us data. 1 Résumé En mars 2004, l'Eurosystème a mis en place différentes modifications de son cadre opérationnel et de sa gestion de la liquidité. L'objectif de cet article est d'étudier les effets de ces changements sur le niveau et la volatilité de l'écart entre l'Eonia et le taux de soumission minimum. Nos résultats montrent que ces changements ont globalement eu un effet positif sur le niveau et la volatilité du spread. La baisse de la volatilité observée après 2004 est largement expliquée par ces modifications.
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We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two main issues. First, we characterize the division of roles between borrowers and lenders in long-run relations by providing evidence on network formation at a yearly frequency. Second, we identify the 'key players' in the marketplace and study their behaviour. Key players are 'locally-central banks' within a network that lend (or borrow) large volumes to (from) several counterparties, while borrowing (or lending) small volumes from (to) a small number of institutions. Our results are twofold. We show that the aggregate trading patterns in e-Mid are characterized by largely asymmetric relations. This implies a clear division of roles between lenders and borrowers. Second, the key players do not exploit their position of network leaders by imposing opportunistic pricing policies. We find that only a fraction of the networks composed by big players are characterized by interest rates that are statistically different from the average market rate throughout the turmoil period.