| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089727 | Journal of Banking & Finance | 2012 | 11 Pages |
Abstract
⺠We analyse liquidity and volatility premia on the French government securities. ⺠We emphasize the impact of unconventional monetary policy for collateral. ⺠We detect two regimes in the data: a conventional regime and an unconventional one. ⺠The conventional regime is characterized by neutrality of monetary policy. ⺠In the second regime, monetary policy leads to volatility and liquidity premia.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sanvi Avouyi-Dovi, Julien Idier,