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Relationship Between Short-Term Interest Rates and Excess Reserves
Mr.Romain M VeyruneGuido della ValleShaoyu Guo
其他書名
A Logistic Approach
出版International Monetary Fund, 2018-04-06
主題Business & Economics / Banks & BankingBusiness & Economics / Money & Monetary Policy
ISBN14843506939781484350690
URLhttp://books.google.com.hk/books?id=BLIZEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋This paper models the relationship between short-term rates and excess reserves in an interest rate corridor as a logistic function estimated for the Eurosystem. The estimate helps to identify conditions in which short-term rates become unanchored, that is, they move away from the policy rates and become more volatile within the interest rate corridor defined by the interest rates of the central bank’s standing facilities. These conditions are attributed to coordination failures among counterparties at open market operations under fixed-rate and full-allotment procedures in the context of segmented markets. A model of the functioning of segmented markets describes how “un-anchoring” takes place when counterparties pursue bidding strategies optimal from an individual perspective but sub-optimal from an aggregate perspective.