A model of the Eurosystem's operational framework and the euro overnight interbank market

Hauck, A ORCID: https://orcid.org/0000-0002-6949-6732 and Neyer, U, 2014. A model of the Eurosystem's operational framework and the euro overnight interbank market. European Journal of Political Economy, 34, S65-S82. ISSN 0176-2680

Preview

Text 13323_Hauck.pdf - Post-print Download (817kB) | Preview

Abstract

This paper develops a theoretical model which replicates main institutional features of the euro overnight interbank market and the Eurosystem's operational framework which has been in place since September 2008. Main ingredients of the model are frictions in the form of participation costs in the interbank market, a refinancing operation with unlimited liquidity supply and two standing facilities offered by the central bank. The model can explain several stylized facts observed during the financial crisis as the decline in interbank borrowing and the interbank rate, the increased borrowing from the Eurosystem and the strong recourse to its deposit facility. Furthermore, we discuss some policy implications.

Item Type:	Journal article
Publication Title:	European Journal of Political Economy
Creators:	Hauck, A. and Neyer, U.
Publisher:	Elsevier
Date:	2014
Volume:	34
ISSN:	0176-2680
Identifiers:	Number Type 10.1016/j.ejpoleco.2013.06.010 DOI S0176268013000517 Publisher Item Identifier
Divisions:	Schools > Nottingham Business School
Record created by:	Jonathan Gallacher
Date Added:	06 Feb 2019 15:02
Last Modified:	06 Feb 2019 15:02
URI:	https://irep.ntu.ac.uk/id/eprint/35775

Actions (login required)

Edit View

Statistics

Views

Downloads