The impact of unconventional monetary policy on the market for collateral: The case of the French bond market

► We analyse liquidity and volatility premia on the French government securities. ► We emphasize the impact of unconventional monetary policy for collateral. ► We detect two regimes in the data: a conventional regime and an unconventional one. ► The conventional regime is characterized by neutrality of monetary policy. ► In the second regime, monetary policy leads to volatility and liquidity premia.