Is collateral eligibility priced?

Stefano Corradin

Research Bulletin, 2017, vol. 31

Abstract: In periods of liquidity crises, a central bank can enlarge the group of securities that are eligible as collateral for borrowing from its facilities. All other things being equal, the price of newly eligible securities should go up, owing to the limited ability of financial institutions to borrow against them. This article provides new evidence that changes in the Eurosystem eligibility criteria had a positive price impact on targeted securities during the financial and euro area sovereign debt crisis. JEL Classification: G01, G12

Keywords: collateral eligibility; funding liquidity (search for similar items in EconPapers)
Date: 2017-02
Note: 1103497
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