The Collateral Channel of Open Market Operations

N. Cassola and Francois Koulischer

Working papers from Banque de France

Abstract: We build a model of collateral choice by banks to quantify how changes in the haircut policy of the central bank affect the collateral used by banks and the funding cost of banks. We estimate the model using data on assets pledged to the European Central Bank from 2009 to 2011. Our results suggest for example that a 5% higher haircut on low rated collateral would have reduced the use of this collateral by 10% but would have increased the average funding cost spread between high yield and low yield countries by 5% over our sample period.

Keywords: Collateral; Haircut; Central Bank; Money market. (search for similar items in EconPapers)
JEL-codes: E52 E58 F36 G01 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2016
New Economics Papers: this item is included in nep-ban, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: The collateral channel of open market operations (2019)
Working Paper: The collateral channel of open market operations (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:593

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