The Eurosystem operational framework, use of colleteral and liquidity distribution in the euro area: towards a single interbank market?
DOI:
https://doi.org/10.13133/2037-3643/9822Keywords:
Monetary Policy, Monetary, PolicyAbstract
This paper analyses the current operational framework chosen to implement single monetary policy in the euro area, pointing out the effects of certain technical choices in the field of monetary policy instruments on the interbank market and bank treasuries. In particular, I examine how the tender typology adopted for main refinancing operations affects overbidding and underbidding, as well as efficiency in bank liquidity management. I then go on to analyse the technical features of unsecured interbank markets in the euro area in order to determine whether a screen-based framework leads to more efficient liquidity management than achieved in over-the-counter markets. In accordance with the averaging provision mechanism, minimum reserves during the maintenance period in Italy, where the interbank market is electronic-based, are taken as indicators of efficiency in this market. On the evidence of the data, it seems that Italian banks can reduce the opportunity cost of maintaining minimum reserves, also performing intertemporal arbitrages between the interbank market and their reserve accounts. Finally, the focus comes on cross border differences in the use of collateral within the euro area in order to analyse the projects currently debated for the reform of collateral lists.JEL Codes: E43, E52
References
ANGELINI, P. (2002), "Liquidity and announcement effects in the euro area", Temi di discussione, n. 451, Banca d'Italia.
ANGELONI, L. and E. BISAGNI (2002), "Liquidity effects in the euro area", Banca Centrale Europea, mimeo.
A YUSO, J. and R. REPULLO (2000), "A model of the open market operations of the European Central Bank", CEPR Discussion Paper, no. 2605.
BALDINELLI, C. and E. PALOMBINI (2002), "L'attività degli operatori esteri sul mercato interbancario dei depositi (e-MID): verso una piattaforma europea?", Bancaria, n. 12, pp. 84-89.
BANCA D'ITALIA (2002), Relazione annuale 2001, Roma.
BANCA D'ITALIA (2003), Relazione annuale 2002, Roma.
BANCO DE ESPANA (1998), "El mercado interbancario de la Uniòn Monetaria Europea", Boletìn Economico, febrero, pp. 29-40.
BINDSEIL, U. (2002), "Equilibrium bidding in the Eurosystem's open market operations", ECB Working Paper, no. 137, April.
COMMITTEE ON THE GLOBAL FINANCIAL SYSTEM (1999), Implications of Repo Markets on Centrai Banks, Bank for International Settlement, March.
COMMITTEE ON THE GLOBAL FINANCIAL SYSTEM (2001), Collateral in Wholesale Financial Markets: Recent Trends, Risk Management and Market Dynamics, Bank for International Settlement, March.
COMMITTEE ON THE GLOBAL FINANCIAL SYSTEM (2001), The Implications of Electronic Trading in Financial Markets, Bank for International Settlement, January.
DEUTSCHE BUNDESBANK (2000), "The integration of German money market in the single euro money market", Monthly Report, January, pp. 15-3l.
DEUTSCHE BUNDESBANK (2003), Annual Report 2002, Frankfurt am Main.
DE VINCENTIIS, P. (1999), Il mercato monetario, Giappichelli Editore, Torino.
ECB - EUROPEAN CENTRAL BANK (1999), ECB Monthly Bulletin, May.
ECB - EUROPEAN CENTRAL BANK (2001), "Bidding behaviour of counterparties in Eurosystem's regular open market operations", ECB Monthly Bulletin, October, pp. 51-63.
ECB - EUROPEAN CENTRAL BANK (2001), The EUro Money Market, July.
ECB - EUROPEAN CENTRAL BANK (2001), Annual Report, Frankfurt am Main.
ECB - EUROPEAN CENTRAL BANK (2002), Measures to Improve the Efficiency of the Operational Framework for Monetary Policy, October.
ECB - EUROPEAN CENTRAL BANK (2oo2), "The liquidity management of ECB", ECB Monthly Bulletin, May, pp. 41-52.
ECB - EUROPEAN CENTRAL BANK (2002), The Single Monetary Policy in Stage Three. General Documentation on Eurosystem Monetary Policy Instruments and Procedures, Frankfurt am Main.
ECB - EUROPEAN CENTRAL BANK (2003), Amendments to the Risk Control Framework for Tier One and Tier Two Eligible Assets, July.
ECB - EUROPEAN CENTRAL BANK (2003), "Changes to the Eurosystem's operational framework for monetary policy", ECB Monthly Bulletin, August, pp. 41-54.
ECB - EUROPEAN MONETARY INSTITUTE (1997), The Single Monetary Policy in Stage Three, January.
FREIXAS, X. and C. HOLTHAUSEN (2001), "Interbank market integration under asymmetric information", ECB Working Paper, no. 74, August.
FURFINE, C. (2003), The Fed's New Discount Window and Interbank Borrowing, Workshop on "Monetary Policy and the Money Market" at Federal Reserve Bank of New York, 5-6 June.
HARTMANN, P., M. MANNA and A. MANZANARES (2001), "The microstructure of the euro money market", Journal oj International Money and Finance, vol. 20, pp.895-948.
LEINONEN, H. (1998), "Interbank fund transfer systems: liquidity needs, counterparty risks and collateral", Bank of Finland Discussion Papers, no. 16.
LINZERT, T., D. NAUTZ and J. BREITUNG (2003), "Bidder behavior in repo auctions without minimum bid rate: evidence from the Bundesbank", Deutsche Bundesbank Discussion Paper, no. 13/03, June.
MANNA, M. (2002), "Using money market rates to assess the alternatives of fixed vs. variable rate tenders: the lesson from 1989-1998 data for Germany", ECB Working Paper, no. 186, October.
MARTELLA, M. and L. RISSOLO (1995), "Il mercato telematico dei depositi interbancari: trasferimenti di fondi, arbitraggi e gestione bancaria", Bancaria, n. 7-8, pp. 84-91.
MITUSCH, K. e D. NAUTZ (2001), "Interest rate and liquidity risk management and the European money supply processo, Journal oj Banking & Finance, vol. 25, no. 11, pp. 2089-2101.
NAUTZ, D. and J. OECHSSLER (1999), "The repo auctions of European Central Bank and the vanishing quota puzzle", SFB 373 Working Paper, Humboldt-University Berlin.
NYBORG, G.K., U. BINDSEIL and I.A. STREBULAEV (2002), "Bidding and performances in repo auctions", ECB Working Paper, no. 157, July.
PATARNELLO, A. (2000), Il mercato interbancario e-MID, Giappichelli Editore, Torino.
VALIMÀKI, T. (2001), "Fixed rate tenders and overnight money market equilibrium", Bank of Finland Discussion Paper, no. 8/2001.
VALIMÀKI, T. (2002), "Bidding in fixed tenders: theory and experience with the ECB tenders", Bank of Finland Discussion Paper, no. 112002.
VALIMÀKI, T. (2002), "Variable rate liquidity tenders", Bank of Finland Discussion Paper, no. 24/2002.
VENTO, G.A. (2002), "Eurosistema e tesoreria nelle banche: verso nuovi orientamenti gestionali", Banche e Banchieri, n. 2, marzo-aprile, pp. 145-63.
Downloads
Published
How to Cite
Issue
Section
License
