Научный семинар Международной лаборатории макроэкономического анализа/ Research Seminar of Internation Laboratory for Macroeconomic Analysis: Dylyara Salakhova- Interbank Money Market and Monetary Policy Implementation (joint with Thibaut Piquard)
International Laboratory for Macroeconomic Analysis of the Faculty of Economic Sciences invites everyone to join our research seminar on the 24th of May 2018 (Thursday) at 5 PM.
Speaker: Dilyara Salakhova (PhD, Economist, Financial Stability Department, Banque of France)
Title: Interbank Money Markets and Monetary Policy Implementation (joint with Thibaut Piquard)
Venue: Shabolovka 26, building 1, room 1302
Abstract: We present a model of monetary policy implementation in secured and unsecured interbank money markets. Markets are competitive, and all agents are banks subject to reserve requirements in a corridor rate system with deposit and lending facilities. Banks trade reserves on the markets at a cost and pay an opportunity cost to pledge collateral. The model provides insights on interest rates, trading volumes and substitution between the two markets. It explains some stylized facts drawn from individual transaction data on the Euro money markets for both traditional and unconventional monetary policies: (i) borrowers are active on both markets even when their collateral constraint is not binding; (ii) secured interest rates may fall below the deposit facility rate; (iii) the spread between the two interest rates increases with rising excess reserves; and (iv) volumes in both markets drop as excess reserves surge. Moreover, we stress the role of the market infrastructure in explaining the dynamics of secured rates and volumes. As a consequence, should secured markets be considered as a target for monetary policy implementation, such factors as collateral demand and availability need to be taken into account on top of the corridor rates and reserve requirements.
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We look forward to seeing you.