کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964054 930472 2012 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The EONIA spread before and during the crisis of 2007–2009: The role of liquidity and credit risk
چکیده انگلیسی

This paper provides an empirical assessment of the factors affecting the spread between the Euro Overnight Index Average (EONIA) and the main policy rate of the European Central Bank (ECB). Up until the period when Lehman Brothers collapsed in mid-September 2008, the spread was small and positive. After this point, the liquidity surplus that developed from the fixed rate full allotment tendering arrangement in refinancing operations drove the widening of EONIA spread (trading below the ECB policy rate), although other factors also played a significant role. This paper explains the drivers of spread across alternative non-crisis/crisis regimes. In addition, the paper examines how the EONIA spread reacts to shocks imposed on a range of liquidity and credit risk factors in alternative crisis/non-crisis regimes. The results have implications for factors that should be monitored closely across both regimes, and also the implications that this may have for steering an unsecured overnight rate in crisis times.


► Assessment of the factors affecting the EONIA spread in non-crisis and crisis regimes.
►  Widening spread blurs the signalling of the monetary policy stance.
► Central bank liquidity provision eliminates liquidity risk, but not credit risk.
► Targeting a secured rate may lead to clearer monetary policy signalling.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 31, Issue 3, April 2012, Pages 534–551
نویسندگان
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